I am trying to understand how changes in economic indicators like Unemployment Rate, Inflation Rate, and Consumer Sentiment affect the portfolio values.
For that I want to measure the correlation between a given economic indicator and S&P SPDRs. I am using scipy stats package and Pearson correlation for that.
I see unintuitive correlations like
corr(fin SPDR, Consumer Sentiment) > 0.75 , corr(consumer staples SPDR, Consumer Sentiment) = -0.5 [ p-value << 0.01 ]
corr(housing starts, tech SPDR) = -0.37 , corr(Housing Starts, consumer staples SPDR) = -0.57
I would think that when the consumer sentiment is high, the consumer staples should also reflect this positivity. But I see negative correlation.
I am not sure if the problem is due to time lag between the economic indicator turning positive and its positive benefits experienced by the companies in a given sector.
Correlations were conducted on SPDR prices and various economic indicators over last 10 years of time.
Could anyone who has done analysis on correlations between economic indicators and market prices help me make sense of these results?