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.
Model Configuration
Correlation Results
Note: The time period was constrained by the available data for Vanguard S&P Small-Cap 600 ETF (VIOO) [Oct 2010 - May 2023].
Asset Correlations
Asset Correlations
Name
Ticker
IJR
IJS
IJT
IWO
IWM
VB
VBR
VIOO
VIOV
VBK
SCHA
Annualized Return
Daily Standard Deviation
Monthly Standard Deviation
Annualized Standard Deviation
iShares Core S&P Small-Cap ETF
IJR
1.00
0.99
0.99
0.94
0.99
0.98
0.98
1.00
0.99
0.92
0.98
10.94%
1.38%
5.41%
18.74%
iShares S&P Small-Cap 600 Value ETF
IJS
0.99
1.00
0.95
0.90
0.97
0.96
0.98
0.99
1.00
0.88
0.97
10.21%
1.41%
5.77%
20.00%
iShares S&P Small-Cap 600 Growth ETF
IJT
0.99
0.95
1.00
0.96
0.98
0.97
0.95
0.98
0.94
0.94
0.98
11.25%
1.39%
5.26%
18.21%
iShares Russell 2000 Growth ETF
IWO
0.94
0.90
0.96
1.00
0.98
0.97
0.92
0.94
0.90
0.98
0.97
9.94%
1.47%
5.64%
19.54%
iShares Russell 2000 ETF
IWM
0.99
0.97
0.98
0.98
1.00
0.99
0.97
0.99
0.97
0.96
0.99
9.26%
1.40%
5.49%
19.00%
Vanguard Small-Cap ETF
VB
0.98
0.96
0.97
0.97
0.99
1.00
0.98
0.98
0.96
0.97
1.00
10.41%
1.32%
5.20%
18.00%
Vanguard Small-Cap Value ETF
VBR
0.98
0.98
0.95
0.92
0.97
0.98
1.00
0.98
0.98
0.91
0.98
9.95%
1.33%
5.31%
18.41%
Vanguard S&P Small-Cap 600 ETF
VIOO
1.00
0.99
0.98
0.94
0.99
0.98
0.98
1.00
0.99
0.92
0.98
10.89%
1.36%
5.45%
18.87%
Vanguard S&P Small-Cap 600 Value ETF
VIOV
0.99
1.00
0.94
0.90
0.97
0.96
0.98
0.99
1.00
0.88
0.96
10.26%
1.41%
5.83%
20.20%
Vanguard Small-Cap Growth ETF
VBK
0.92
0.88
0.94
0.98
0.96
0.97
0.91
0.92
0.88
1.00
0.97
10.45%
1.38%
5.35%
18.53%
Schwab US Small-Cap ETF
SCHA
0.98
0.97
0.98
0.97
0.99
1.00
0.98
0.98
0.96
0.97
1.00
9.81%
1.37%
5.43%
18.80%
Asset correlations for time period 10/01/2010 - 05/31/2023 based on monthly returns
Notes and Disclosures
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.