Asset Correlations

Correlation Overview

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

Asset Correlations

NameTickerSPYIWOGLDEEMTLTGFReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
SPDR S&P 500 ETF TrustSPY1.000.82-0.270.65-0.380.5112.46%0.44%1.17%4.05%
iShares Russell 2000 Growth ETFIWO0.821.00-0.220.53-0.350.4114.33%0.79%1.87%6.48%
SPDR Gold SharesGLD-0.27-0.221.000.030.61-0.179.67%0.65%2.93%10.16%
iShares MSCI Emerging Markets ETFEEM0.650.530.031.00-0.090.5126.11%0.77%2.20%7.64%
iShares 20+ Year Treasury Bond ETFTLT-0.38-0.350.61-0.091.00-0.235.63%0.62%1.70%5.89%
New Germany FundGF0.510.41-0.170.51-0.231.0041.32%0.65%2.53%8.75%
Asset correlations for time period 01/05/2017 - 09/30/2017 based on daily 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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.

Rolling Correlation