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 04/02/2009 - 01/19/2017 based on daily returns.
|Name||Ticker||VTSMX||VGTSX||NAESX||VFSVX||Annualized Return||Daily Standard Deviation||Monthly Standard Deviation||Annualized Standard Deviation|
|Vanguard Total Stock Mkt Idx Inv||VTSMX||-||0.89||0.96||0.85||16.70%||1.04%||3.87%||13.42%|
|Vanguard Total Intl Stock Index Inv||VGTSX||0.89||-||0.84||0.97||8.90%||1.14%||4.90%||16.98%|
|Vanguard Small Cap Index Inv||NAESX||0.96||0.84||-||0.82||18.79%||1.31%||5.05%||17.50%|
|Vanguard FTSE All-Wld ex-US SmCp Idx Inv||VFSVX||0.85||0.97||0.82||-||11.01%||1.06%||4.99%||17.28%|