Home > Creativity, education, management > Trader’s roundtable: correllation between ETFs

Trader’s roundtable: correllation between ETFs


Microsoft Excel (Windows)
Image via Wikipedia

In a recent discussion among traders, the idea of how to measure the correlation between various ETFs in the world market model arose.

Here is my method:

I set up a table, updated automatically daily iwant to compare the daily % gains and losses as the data points, then just pick the desired time frames and run =CORREL on it in Excel, that uses the =CORREL function to find the correllations between the broad indices

Iwant to compare the daily % gains and losses as the data points, then just pick your desired time frames and run =CORREL on it
I  use XLQ from qmatix.com to fetch and update daily performance data; a great time saving utility program with a robust  set of functions and a great yahoo group.
see attached snapshot of todays correllations
the left table is a cross-correllation on 200 days of data
the right table is 4 diff times frames of indices vs SPY
green is exceptionally highly correllated,  red is exceptionally uncorrellated for that data set
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  1. RG
    January 8, 2010 at 8:07 am

    Good explanation. I cannot see right table of time frames

  2. Osamu Uchida
    January 8, 2010 at 10:06 pm

    RG,

    put your “pointer” on the right table and click.

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