This line graph compares the S&P 500 index to the average 20-day correlation of its constituent stocks over time. It shows that from 2008 to early 2012, as the S&P 500 rose and fell, the average correlation between constituent stocks generally increased, peaking above 120% during periods of market volatility, indicating greater co-movement between stocks.

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12-May-2008
11-Aug-2008
07-Nov-2008
10-Feb-2009
12-May-2009
11-Aug-2009
09-Nov-2009
10-Feb-2010
12-May-2010
11-Aug-2010
09-Nov-2010
09-Feb-2011
11-May-2011
S&P 500 vs. Average 20 day Correlation of Index Constituents
10-Aug-2011
08-Nov-2011
Craig Peskin - craigpes@hotmail.com - Feb. 3, 2012
09-Feb-2012
20%
40%
60%
80%
100%
120%
140%
160%
180%