Gold futures have been getting hammered in the last few days (silver too) while stocks have been rebounding nicely back nearly to the 2012 highs we saw in September-October. Those who sold stock during the November slump and plowed into gold have definitely had a rough couple of weeks.

Looking at the charts, Business Insider (borrowing from Mark Dow) labeled this a breakdown in the correlation between gold and the S&P 500. This isn’t exactly a revelatory take. But the argument seems to imply that this is a break from the norm – that is, that this current move of Gold down and stocks up breaks a strong history of correlation between the two.

And this got us thinking… Watching the correlations between various asset markets is one of our pastimes, so we decided to check it out by looking at the rolling 30-day and rolling 250-day correlations between gold futures and S&P 500 futures (based on daily closing price):

You can see the 30-day correlation falling from above 0.6 to below 0.2 at the right end of the chart, showing how far that correlation has fallen in last month. (Disclaimer: past performance is not necessarily indicative of future results.) But looking at the bigger picture, it’s clear that the idea that there’s a strong historical correlation between gold and the S&P 500 isn’t supported by the evidence. The 30-day correlation bounces back and forth between extremes, while the long-term average tends to hang right around zero.

This year has sported a higher rolling 1-year correlation than at any point in the past decade, but it doesn’t hold up to argue that this represents a break with the longer-term trend. If anything, a sustained decline in the correlation between gold and stocks would be very normal, indeed.