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 07/30/2002 - 10/23/2018 based on daily returns.

Asset Correlations
NameTickerSPYSHYAnnualized ReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
SPDR S&P 500 ETF TrustSPY--0.369.24%1.16%3.98%13.77%
iShares 1-3 Year Treasury Bond ETFSHY-0.36-1.90%0.09%0.38%1.33%
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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.
  • The rolling correlation is based on trading days, not calendar days.