US equity indexes
On August 31–September 7, 2017, the S&P 400 Mid-Cap Index (IVOO) had the third most negative correlation of 77.6% with US crude oil active futures. In fact, the S&P 400 Mid-Cap Index fell 1%—the highest on our list of equity indexes during this period.
In the seven calendar days to September 7, 2017, the CAC 40 Index had the least negative correlation of 45.1% with US crude oil futures. The CAC 40 Index was the only gainer among our list of equity indexes. It rose 0.6%—compared to the 3.9% gain in US crude oil October futures and a 4% rise in the Brent crude oil active futures during this period.
The Dow Jones Industrial Average Index (DIA) had the highest negative correlation of 82.1% with US crude oil active futures in the trailing week. The S&P 500 Index (SPY) and the FTSE 100 Index (EWU) had negative correlations of 80% and 66.5% with US crude oil prices during this period.
In the past five trading sessions, EWU fell 0.5%. We discussed SPY and DIA’s price performance in Part 1 of this series.
IVOO’s exposure to the energy sector is 3%–4%. For SPY and DIA, the allocation to the energy sector is 6%–7%. EWU and the CAC 40 Index have more than 10% of their total allocation in energy sector stocks.
The gain in US crude oil prices propelled a 3.4% rise in the Energy Select Sector SPDR Fund (XLE) in the past four trading sessions. XLE outperformed among the sector-based SPDR ETFs. The Financial Select Sector SPDR Fund (XLF) fell 3.3% and was the largest loser among the SPDR ETFs during this period.