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Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 09:36 AM   #1
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Mutual Fund Correlation Tool on the Web?

I know this is probably too much to hope for, but I'll ask anyway, as some of you are real investment info diggers...

I would like to find an on-web correlation tool. That I could feed two fund ticker codes into, then specify a beginning and end year, and then let it rip. And the output would be -1 through +1, weighted somehow over the years range.

It seems that such a thing would need access to a database of total returns on a per-year basis, for each of the funds specified.

Does such a thing exist?

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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 11:05 AM   #2
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Re: Mutual Fund Correlation Tool on the Web?

This isn't a perfect solution, might be to fee paying subscribers. You can put in the funds you have in mind then go to their analysis tools. With a little poking around you can find the best and worst performing periods and how far up or down the fund went. If the funds tanked around the same time they are highly correlated. Then you can look at your 'RiskGrade' for the total portfolio.

Folks who pay for the professional version can probably devine that info easier.

http://www.riskgrades.com/retail/what_is/what_is.cgi

The basic version is free, and I know it is current because I spent the weekend trying out my portfolio changes.

Another neat feature is to see what would have happened to the profolio with specific stressors, 9/11, tec tank, Gulf War....
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 11:40 AM   #3
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Re: Mutual Fund Correlation Tool on the Web?

There's such a tool on Gummy's site. The only drawback is it uses monthly data for only 3 yrs (I think).
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 05:28 PM   #4
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Re: Mutual Fund Correlation Tool on the Web?

Quote:
Originally Posted by Brat
This isn't a perfect solution, might be to fee paying subscribers. You can put in the funds you have in mind then go to their analysis tools. With a little poking around you can find the best and worst performing periods and how far up or down the fund went. If the funds tanked around the same time they are highly correlated. Then you can look at your 'RiskGrade' for the total portfolio.

Folks who pay for the professional version can probably devine that info easier.

http://www.riskgrades.com/retail/what_is/what_is.cgi

The basic version is free, and I know it is current because I spent the weekend trying out my portfolio changes.

Another neat feature is to see what would have happened to the profolio with specific stressors, 9/11, tec tank, Gulf War....
I used to use riskgrades a lot and found it very useful. It's a little bit of a pain to work on rebalancing issues though because it forces you to convert everything into per-share data instead of just being able to plug in the dollar amount allocation (small quibble).

Are you sure that it is current? I messed around with it recently and seemed to get strange results. Many of the links on the page also didn't seem to work. It hopefully was just a temporary site problem, but I wasn't sure if the site had been abandoned.
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 05:54 PM   #5
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Re: Mutual Fund Correlation Tool on the Web?

I agree, I wish we could just enter the $ amount rather than converting it to shares.

Hey, if it were easy then what would be the incentive to be a paid subscriber?
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 06:15 PM   #6
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Re: Mutual Fund Correlation Tool on the Web?

Quote:
Originally Posted by ronin
There's such a tool on Gummy's site. The only drawback is it uses monthly data for only 3 yrs (I think).
I think it's 8 years.
http://www.gummy-stuff.org/asset-correlation.htm
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-16-2006, 06:22 PM   #7
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Re: Mutual Fund Correlation Tool on the Web?

I think the economic stressor test is based on sector analysis (your portfolio and allocation) while the risk profile goes back to 91.
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-17-2006, 12:57 AM   #8
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Re: Mutual Fund Correlation Tool on the Web?

I do a sort of back-of-the-envelope eye-ball corellation (sp?) technique.

I use the charting available at Yahoo. for example:
http://finance.yahoo.com/q/bc?s=VFIN...=m&q=l&c=vtsmx
I fiddle with the time frame (3 mo, 6 mo, 1 yr, 2 yr, 5 yr, max) to see how two funds are similar or diverge. It is interesting how some track each other closely for a while then diverge. You usually only see this in 2 yr or 5 yr or max. You can compare several at the same time.
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-17-2006, 07:31 AM   #9
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Re: Mutual Fund Correlation Tool on the Web?

This site has a tool for Vanguard funds, but not others I'm afraid...

http://www.adviseronline.com/
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-17-2006, 04:04 PM   #10
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Re: Mutual Fund Correlation Tool on the Web?

Thanks for all of the suggestions, I'm digesting them... burp
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-18-2006, 09:49 AM   #11
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Re: Mutual Fund Correlation Tool on the Web?

If it's just one or two runs that you want to do, send me the tickers and I will run them for you here at work.

Let me know if you want 1,3,5,10,20, or 25 year data
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-22-2006, 11:11 AM   #12
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Re: Mutual Fund Correlation Tool on the Web?

Thanks for all the links, and thanks for the offer, saluki.

After playing with the available tools, I came to realize that correlation or lack of it, is not really what I needed.

I'm comparing a dividend-rich Moderate Allocation fund to bond funds. So I figured out I really needed to look at the minimum returns of both, and how the minimum returns correlated.

On good equity market years, the MA leaves bond funds way behind. But what would it do in a down year? Would the MA's equity component drag the total return way down, as compared to a pure bond fund?
Would a dividend-rich MA's dividends help out significantly in a downturn?

I've been charting them in Excel. High dividends definitely help out on the bottom end!.
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Re: Mutual Fund Correlation Tool on the Web?
Old 10-22-2006, 11:13 AM   #13
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Re: Mutual Fund Correlation Tool on the Web?

Keep us posted, Telly.


This looks interesting.
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