When evaluating correlation, time frame for developing the correlation is important.

Your link to Erik Swartz made me want to run a quick test, the results of which are below. Basically, I did a correlation study of the major indexes, IWM and it's related ETFs, GDX and it's related ETFs, and GLD. The ebb and flow of the correlations will be of interest to some.

Bottom line, GDX and GLD are highly correlated within the markets on this present bull leg (since early October). Gold was uncorrelated until mid September. This obviously has implications on the performance of the robot call on GDX.

This data is generated using a an exponentially weighted moving average with a weight factor of 0.8, which gives a full decay in about 30 days or so.

Regards,

pgd

GDX-IWM-GLD-COrrels.xlsx