Where to get year by year correlation data?

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jadela
Posts: 113
Joined: Mon Apr 06, 2020 12:32 pm

Where to get year by year correlation data?

Post by jadela »

If I want to get Year by year correlation data between any 2 tickets or asset classes, where can I get that? I see that Portfolio Visualizer has the market correlation on backtests but that is cumulative.

For example, I'm interested in the yearly correlations between:
- REIT and LCB, e.g. VNQ:VTSAX.
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retired@50
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Location: Living in the U.S.A.

Re: Where to get year by year correlation data?

Post by retired@50 »

jadela wrote: Wed Jun 22, 2022 4:57 pm If I want to get Year by year correlation data between any 2 tickets or asset classes, where can I get that? I see that Portfolio Visualizer has the market correlation on backtests but that is cumulative.

For example, I'm interested in the yearly correlations between:
- REIT and LCB, e.g. VNQ:VTSAX.
Just change the time being analyzed in PV.

You can analyze a single year if you want.

Sample: https://www.portfoliovisualizer.com/bac ... ion2_2=100

My advice would be to get out of the rabbit hole you seem to be in, choose a portfolio, then get on with your life.

Regards,
This is one person's opinion. Nothing more.
treecat
Posts: 13
Joined: Sun Jan 09, 2022 6:44 pm

Re: Where to get year by year correlation data?

Post by treecat »

[dupe]
Last edited by treecat on Wed Jun 22, 2022 7:27 pm, edited 1 time in total.
treecat
Posts: 13
Joined: Sun Jan 09, 2022 6:44 pm

Re: Where to get year by year correlation data?

Post by treecat »

PV's "Asset Class Correlations" shows correlations among a selection of ETFs, including I think the asset classes you mention: https://www.portfoliovisualizer.com/ass ... rrelations

You can put in any tickers you want into the similar "Asset Correlations" page (and get longer history if available). It looks like it supports a 12 month window if you're especially interested at the yearly level. For example, between Vanguard S&P500 and REIT: https://www.portfoliovisualizer.com/ass ... &months=12
Topic Author
jadela
Posts: 113
Joined: Mon Apr 06, 2020 12:32 pm

Re: Where to get year by year correlation data?

Post by jadela »

treecat wrote: Wed Jun 22, 2022 7:27 pm PV's "Asset Class Correlations" shows correlations among a selection of ETFs, including I think the asset classes you mention: https://www.portfoliovisualizer.com/ass ... rrelations

You can put in any tickers you want into the similar "Asset Correlations" page (and get longer history if available). It looks like it supports a 12 month window if you're especially interested at the yearly level. For example, between Vanguard S&P500 and REIT: https://www.portfoliovisualizer.com/ass ... &months=12
Perfect thank you. The "rolling correlations" tab shows exactly what I want.
dcabler
Posts: 2408
Joined: Wed Feb 19, 2014 11:30 am

Re: Where to get year by year correlation data?

Post by dcabler »

Simba's spreadsheet here on this forum, especially if you want a large wealth of asset classes. Correlations are already pre-calculated in a very large table on one of the tabs.

https://www.bogleheads.org/wiki/Simba%2 ... preadsheet

Cheers
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