I read an interesting paragraph on Friday night (click for easier reading):

I decided to fire up a few charts and test that theory, because intuitively it makes a lot of sense. I therefore did percentage performance charts of three major, but differently-constructed, indexes – – the S&P 500, the NASDAQ 100, and the Russell 2000. Below, for instance, is this trio during a broadly healthy market period around 2004-2005. The indexes aren’t identical, of course, but on the whole they are moving with each other, with little in the way of meaningful variance.
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