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.
Asset correlations for time period 12/01/2000 - 02/28/2021 based on monthly returns.
Close Note: The time period was constrained by the available data for Vanguard Total Stock Mkt Idx Adm (VTSAX) [Dec 2000 - Feb 2021]. You can extend the backtesting period by using Vanguard Total Stock Mkt Idx Inv (VTSMX), which is the oldest share class of the fund.
Asset Correlations Name Ticker VTSAX VTMGX Annualized Return Daily Standard Deviation Monthly Standard Deviation Annualized Standard Deviation Vanguard Total Stock Mkt Idx Adm VTSAX - 0.89 8.16% 1.26% 4.47% 15.48% Vanguard Developed Markets Index Admiral VTMGX 0.89 - 4.96% 1.27% 4.96% 17.18%
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.