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Here is my correlation between QQQ and major sector ETFs going back to 2005 when Bond ETFs were introduced. QQQ 1 XLK 0.9952440282 VCR 0.9813656495 SPY 0.97743
by maire 6y ago
Here is my correlation between QQQ and major sector ETFs going back to 2005 when Bond ETFs were introduced.
QQQ 1
XLK 0.9952440282
VCR 0.9813656495
SPY 0.9774334512
VHT 0.9749607257
DIA 0.9738966572
XLI 0.944646275
MDY 0.9418372572
XLP 0.9340495871
XLU 0.9322048846
VBK 0.9749569179
TLT 0.8238447288
IEF 0.7459539935
LQD 0.7698459752
VNQ 0.7211819234
SHY 0.5117276512
GLD 0.4880148474
XLF 0.4715141612
EFA 0.2721585482
XLE 0.04648142997
- atombender 6y agoWhat is your formula? This doesn't match what I'm used to. For example, TLT has an inverse correlation with the US stock market (-0.32 according to PortfolioVisualizer.com), so I would expect it to be inversely correlated with QQQ.
- maire 6y agoYes - some periods TLT does have negative correlation to QQQ. I was pretty surprised when I saw this since Bernstein did not see this in his analysis. As I said it had been 15 years since I have been actively managed my investments. When the stock market dropped I was surprised that our investments hadn't actually dropped so I wanted to find out why. So I put together a google sheet and tried to replicate the Intelligent Asset Allocator with just ETFs. This only goes back to 2005. First I put in all of the ETFs with weekly data going back to 2005 from GoogleFinance. I then added in the dividend yields - which most online analysis does not do. Then I just used the google sheets correlation function. I set up the sheet so I could slice and dice across different time periods. And then I chose my own asset allocation based on what I saw. I also looked at the optimal rebalancing period. It looks like it is 2 years for this set of data.