In part due to the recent discussion about "range trading strategies" and "picking market tops", I compiled the average rolling 20day pairwise correlation for the listed stocks. Just for the sake of anyone interested I thought I would throw up the last 6 months of data in a chart as for me it was very interesting.
If you are curious about why I'd be looking at these sorts of numbers please read
Re range trading:
" Volatility Harvesting and the Importance Of Rebalancing "
which has a good description of "Shannons Demon" as well as an interesting chart from the paper "The Joy of Volatility" by Dempster, Evstigneev and Schenk-Hoppe.
Re picking market tops:
As well as this tactical allocation strategy which uses pairwise correlations of asset classes
which includes R code for the strategy described along with a backtest to 1957.