I used ETFs (and not stocks) to simplify the test. I was mostly looking for correlations of different investments across different scenarios. I then looked at s

I used ETFs (and not stocks) to simplify the test. I was mostly looking for correlations of different investments across different scenarios. I then looked at severe market downturns to see how the correlations changed. As you can imagine - when there is a severe market drop, most investments are highly correlated to the S&P. The most negative correlation I could get was medium term bond ETFs. Short term bonds were still highly correlated and I am not sure why. The dot com bust was particularly interesting because each segment dropped at different times. Telecom dropped first, then tech. It took about a year for the drop to hit mid cap. In comparison - the 2008 crash hit everything quickly. Also - lately I have been using the backtesting tools in TOS. As I said earlier, this only works for stocks and not ETFs.