where to find a tool to check etfs correlation instantly

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looking
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Joined: Thu Mar 01, 2007 6:14 pm
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where to find a tool to check etfs correlation instantly

Post by looking »

HI ALL

where to find a tool to check etfs, or mutual funds, correlation instantly , vanguard does not tell percentage correlation . all i want to know percentage difference

for example

ivov ( s&p 400 midcap ) and VO(vanguard midcap)

tanks
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David Jay
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Location: Michigan

Re: where to find a tool to check etfs correlation instantly

Post by David Jay »

It's not an engineering problem - Hersh Shefrin | To get the "risk premium", you really do have to take the risk - nisiprius
red5
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Joined: Sun Apr 01, 2012 4:42 pm

Re: where to find a tool to check etfs correlation instantly

Post by red5 »

looking wrote:HI ALL

where to find a tool to check etfs, or mutual funds, correlation instantly , vanguard does not tell percentage correlation . all i want to know percentage difference

for example

ivov ( s&p 400 midcap ) and VO(vanguard midcap)

tanks
Just keep in mind that correlations are not static.
dbr
Posts: 46137
Joined: Sun Mar 04, 2007 8:50 am

Re: where to find a tool to check etfs correlation instantly

Post by dbr »

red5 wrote:
looking wrote:HI ALL

where to find a tool to check etfs, or mutual funds, correlation instantly , vanguard does not tell percentage correlation . all i want to know percentage difference

for example

ivov ( s&p 400 midcap ) and VO(vanguard midcap)

tanks
Just keep in mind that correlations are not static.
That and we hope everyone understands that correlation is a statistic about two series of data and not a point measure. The NAV at point in time is a point measure. To compute correlation is required a specification of many points where a time period from beginning to end is involved. I would say that such a thing cannot by definition be "instant."
chx
Posts: 429
Joined: Sat Jan 16, 2016 9:52 am

Re: where to find a tool to check etfs correlation instantly

Post by chx »

dbr wrote: That and we hope everyone understands that correlation is a statistic about two series of data and not a point measure. The NAV at point in time is a point measure. To compute correlation is required a specification of many points where a time period from beginning to end is involved. I would say that such a thing cannot by definition be "instant."
Yes, a correlation can be instantaneous, just like an annualized ten-year return can be instantaneous (i.e., What is the annualized ten-year return of XYZ right NOW?) For a correlation example, I can ask: As of right now, what is the correlation between the daily returns of XYZ vs the daily returns of ABC, with the data series taken from the past ten years.

For the instant correlation calculator linked above, the default is to provide a correlation for the daily returns of two stocks/etfs/mutual funds over the most recent 60 days, but you can customize the start date, the end date, and the increment within the time period. For example, I just ran a test of the annual returns of GLD vs SPY over the past 16 years, which resulted in a minus 0.07 correlation.

xxChip
alex_686
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Joined: Mon Feb 09, 2015 1:39 pm

Re: where to find a tool to check etfs correlation instantly

Post by alex_686 »

I feel that I need to add at this point that one should be careful in picking one's date range. Correlations are a great example of where more data may not be a good thing.

As a few point have pointed out, correlations change over time. Causal effects that link asset classes do change over time. The technical term is "Secular Change".

Something that is more subtle is that correlation calculations assume that volatility is constant over a time period. If it is not you are going to get bogus results. For example, if volatility has increased over the time period being measured, 2 independent random variables will show a positive correlation. No causal relationship between these 2 variables – it is just statistical artifact. Most people don't try to push correlations past 3 years.
Former brokerage operations & mutual fund accountant. I hate risk, which is why I study and embrace it.
dbr
Posts: 46137
Joined: Sun Mar 04, 2007 8:50 am

Re: where to find a tool to check etfs correlation instantly

Post by dbr »

chx wrote:
dbr wrote: That and we hope everyone understands that correlation is a statistic about two series of data and not a point measure. The NAV at point in time is a point measure. To compute correlation is required a specification of many points where a time period from beginning to end is involved. I would say that such a thing cannot by definition be "instant."
Yes, a correlation can be instantaneous, just like an annualized ten-year return can be instantaneous (i.e., What is the annualized ten-year return of XYZ right NOW?) For a correlation example, I can ask: As of right now, what is the correlation between the daily returns of XYZ vs the daily returns of ABC, with the data series taken from the past ten years.

For the instant correlation calculator linked above, the default is to provide a correlation for the daily returns of two stocks/etfs/mutual funds over the most recent 60 days, but you can customize the start date, the end date, and the increment within the time period. For example, I just ran a test of the annual returns of GLD vs SPY over the past 16 years, which resulted in a minus 0.07 correlation.

xxChip
I have no problem with the logic of that definition.
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