Access our posts on your Bloomberg terminal: NH BLG_TICKER_SENSE 
Picking winners is becoming increasingly difficult, and picking sectors is now almost useless. The chart below shows the average correlation of each S&P 500 stock with the S&P 500 index on a rolling 200 day basis. As shown, beginning in the middle of September members became much more correlated with the market and have remained at high levels since then.
Moving up to the sector level there are no areas that stand out. A traditional long/short, market neutral strategy is useless in this kind of environment. Even holding stocks overnight is risky on the long or the short side.
One encouraging note is that this is the first occurrence of such high sector correlation in a bear market. Bear markets are shaded in the chart above, and as shown correlation generally rises during a bear market, and peaks afterwards.
nice chart, I like the work and thesis. Do you share data? I would be interested in the XLS if possible.
Posted by: nick gogerty | March 13, 2009 at 08:53 AM
I have lots of contents on Economy, Company news, Stock recommendations, Warren Buffett and much more.
Posted by: Mukundan | May 29, 2009 at 12:34 PM
Hello Lotts Birinyi...it's Bill Holmes a voice from the past. Hope you are well.
Posted by: Bill Holmes | September 10, 2009 at 04:24 PM
I am looking for S&P 500 stocks that have highest correlations with index....can you provide this or some kind of ranking? If not, do you know how I can obtain this? Thank you
Posted by: Adam Veltri | September 26, 2009 at 09:00 AM
Excellent short article! Thank you for posting.
Marc
Posted by: Marc | January 03, 2010 at 11:23 PM
Here is the above index for a 10-bar correlation period
http://www.quantshare.com/item-388-average-correlation-index-s-p-500
Posted by: Tom | February 25, 2010 at 07:04 AM