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
Note: The time period was constrained by the available data for Grayscale Ethereum Trust (ETH) (ETHE) [06/26/2019 - 03/24/2023].
Asset Correlations
Asset Correlations
Name
Ticker
VUG
VIOV
USMV
KBA
UPRO
TLT
TMF
GLD
PFF
REET
COM
DBMF
VIXM
GBTC
ETHE
Annualized Return
Daily Standard Deviation
Monthly Standard Deviation
Annualized Standard Deviation
Vanguard Growth ETF
VUG
1.00
0.68
0.86
0.52
0.95
-0.15
-0.14
0.14
0.63
0.71
0.12
0.10
-0.71
0.42
0.35
12.06%
1.72%
6.52%
22.59%
Vanguard S&P Small-Cap 600 Value ETF
VIOV
0.68
1.00
0.76
0.42
0.81
-0.26
-0.26
0.06
0.65
0.80
0.21
0.13
-0.67
0.31
0.28
8.07%
1.93%
7.83%
27.13%
iShares MSCI USA Min Vol Factor ETF
USMV
0.86
0.76
1.00
0.45
0.94
-0.20
-0.19
0.17
0.68
0.83
0.15
0.12
-0.67
0.31
0.29
5.41%
1.25%
4.61%
15.97%
KraneShares Bosera MSCIChinaA50CntIdETF
KBA
0.52
0.42
0.45
1.00
0.52
-0.15
-0.14
0.20
0.38
0.41
0.15
0.09
-0.43
0.27
0.21
4.32%
1.64%
6.90%
23.90%
ProShares UltraPro S&P500
UPRO
0.95
0.81
0.94
0.52
1.00
-0.24
-0.23
0.12
0.69
0.80
0.16
0.13
-0.74
0.38
0.33
8.01%
4.42%
17.44%
60.43%
iShares 20+ Year Treasury Bond ETF
TLT
-0.15
-0.26
-0.20
-0.15
-0.24
1.00
1.00
0.29
0.06
-0.12
-0.07
-0.18
0.17
-0.06
-0.06
-3.91%
1.16%
4.55%
15.77%
Direxion Daily 20+ Yr Trsy Bull 3X ETF
TMF
-0.14
-0.26
-0.19
-0.14
-0.23
1.00
1.00
0.30
0.07
-0.11
-0.06
-0.17
0.16
-0.05
-0.05
-22.60%
3.41%
13.44%
46.57%
SPDR Gold Shares
GLD
0.14
0.06
0.17
0.20
0.12
0.29
0.30
1.00
0.14
0.18
0.42
0.08
-0.10
0.18
0.15
8.74%
1.00%
4.53%
15.71%
iShares Preferred&Income Securities ETF
PFF
0.63
0.65
0.68
0.38
0.69
0.06
0.07
0.14
1.00
0.72
0.11
0.10
-0.56
0.27
0.22
-0.74%
1.17%
4.10%
14.20%
iShares Global REIT ETF
REET
0.71
0.80
0.83
0.41
0.80
-0.12
-0.11
0.18
0.72
1.00
0.16
0.07
-0.62
0.27
0.26
-2.02%
1.59%
6.42%
22.23%
Direxion Auspice Broad Cmdty Strat ETF
COM
0.12
0.21
0.15
0.15
0.16
-0.07
-0.06
0.42
0.11
0.16
1.00
0.31
-0.15
0.16
0.13
12.24%
0.66%
2.96%
10.24%
iMGP DBi Managed Futures Strategy ETF
DBMF
0.10
0.13
0.12
0.09
0.13
-0.18
-0.17
0.08
0.10
0.07
0.31
1.00
-0.18
0.09
0.08
7.48%
0.87%
3.65%
12.66%
ProShares VIX Mid-Term Futures
VIXM
-0.71
-0.67
-0.67
-0.43
-0.74
0.17
0.16
-0.10
-0.56
-0.62
-0.15
-0.18
1.00
-0.31
-0.26
6.46%
2.38%
11.45%
39.67%
Grayscale Bitcoin Trust (BTC)
GBTC
0.42
0.31
0.31
0.27
0.38
-0.06
-0.05
0.18
0.27
0.27
0.16
0.09
-0.31
1.00
0.65
1.96%
5.26%
24.19%
83.80%
Grayscale Ethereum Trust (ETH)
ETHE
0.35
0.28
0.29
0.21
0.33
-0.06
-0.05
0.15
0.22
0.26
0.13
0.08
-0.26
0.65
1.00
-19.45%
8.02%
39.74%
137.67%
Asset correlations for time period 06/26/2019 - 03/24/2023 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.