Asset Correlations

This asset correlation testing tool allows you to view correlations for stocks, ETFs and mutual funds for the given time period. You also view the rolling correlation for a given number of trading days to see how the correlation between the assets has changed over time. You can also view correlation matrix for common asset class ETFs or test assets for autocorrelation and cointegration.

Correlation Results

Asset correlations for time period 01/01/2001 - 12/31/2017 based on annual returns.

Asset Correlations
NameTickerSPYFBNDXIYRAnnualized ReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
SPDR S&P 500 ETFSPY-0.300.686.29%1.20%4.14%14.35%
Fidelity Investment Grade BondFBNDX0.30-0.634.67%0.25%1.06%3.68%
iShares US Real Estate ETFIYR0.680.63-9.23%1.77%5.99%20.74%
Notes on results:
  • Time frame for correlation analysis is the full available data range unless a specific date interval is specified.
  • Monthly standard deviation is calculated based on available full calendar months including the entered start and end months.
  • Annualized standard deviation is calculated from the standard deviation of monthly returns
  • Annualized return is calculated from the specific time period using compound annual growth rate formula.