ETF correlation matrix
Pick up to 10 ETFs and a period: the matrix shows how closely their monthly returns moved together, over the same months for every fund. Useful to spot funds that overlap and the ones that actually diversify.
Not enough common history: pick a shorter period or other funds.
Returns with dividends reinvested, each in its fund’s trading currency. Historical correlations change over time, especially in crises. Not investment advice.
How to use it
Values above 0.9 mean two funds have moved almost as one: holding both changes little. Values between 0.3 and 0.7 give partial diversification; values near zero or below are the ones that smooth a portfolio.
Compare the 3-year and the full-history view: when correlations jump in recent years, the diversification you are counting on may be weaker than the long-run figure suggests.
Questions
What does correlation between two ETFs mean?
It measures how closely their returns move together, from +1 (always in the same direction and proportion) through 0 (no relation) to −1 (always opposite). Two funds with a correlation near 1 behave almost as one; adding the second brings little diversification.
Why monthly returns?
US and European funds trade on different days and hours, so daily returns of funds on different exchanges are not aligned and understate their correlation. Month-end returns line up across markets and give a cleaner picture for portfolio decisions.
Is a low correlation always good?
A low or negative correlation smooths a portfolio’s ups and downs, which is the point of diversifying. But correlations change over time and often rise in a crisis, just when diversification is needed most: check the shorter periods as well as the longest one.
Which ETFs are available?
The ETFs covered by our ETF pages, US-listed and European UCITS, across stocks, bonds, gold, commodities, real estate and crypto. Returns include reinvested dividends and are in each fund’s trading currency.
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Source: MarketStack end-of-day prices, total return with dividends reinvested. Figures are historical and descriptive; they are not forecasts and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.