Asset Correlations

This online 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 12/01/2007 - 06/01/2009 based on daily returns.

Asset Correlations
NameTickerSPYSHYAnnualized ReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
SPDR S&P 500 ETFSPY--0.47-24.12%2.46%6.91%23.95%
iShares 1-3 Year Treasury Bond ETFSHY-0.47-4.38%0.17%0.62%2.15%
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.
  • The rolling correlation is based on trading days, not calendar days.