Correlations Among IP Indexes and S&P 500

Posted on August 3rd, 2011 by admin in Intellectual Property, Market Indexes, Technology

It’s useful to consider the cross-correlations among RIPSI, RIPSID and S&P 500. These are shown in the chart below.

Correlation Matrix RIPSI, S&P500, RIPSID; daily returns for 2 months ending 8-1-11






Each entry in the matrix is the statistical correlation between the indexes shown in the row/column heading. Of course, the matrix is symmetric, so we show only the unique cells. Gross returns were calculated using the price data for the 43 trading days from 1 JUNE 2011 through 1 AUG 2011. The correlations were computed for these series of returns.

The main message from this chart is that both RIPSI and RIPSID have a much lower correlation with the  S&P 500 than they have with each other.

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