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Update: ETF Correlation Tracker Tool

Posted by
December 20th, 2008

 
Geometrical interpretation of partial correlation
Image via Wikipedia

I’ve updated the ETF correlation tracker tool today based on reader feedback.  It now includes 10,50,120 and 260-day correlations on our ETF basket.  Michael over at MarketSci sent me back a version that converted it to a heat-map where it is colored by percentage correlation, but he did it in Excel 2008 – I’m including a screenshot below.  If anyone has any idea how to do this in earlier versions of Excel, I’d love to hear from you.

correlation-heat-map

ETF Correlation Tracker – 10 day (CSV)

ETF Correlation Tracker – 10 day (HTML)

ETF Correlation Tracker – 50 day (CSV)

ETF Correlation Tracker – 50 day (HTML)

ETF Correlation Tracker – 120 day (CSV)

ETF Correlation Tracker – 120 day (HTML)

ETF Correlation Tracker – 260 day (CSV)

ETF Correlation Tracker – 260 day (HTML)

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4 Responses to “Update: ETF Correlation Tracker Tool”


  1. Posted by Corey on December 20th, 2008 at 6:42 pm

    here is one one to get the color formatting:

    ctrl + m is the shortcut key to run the macro

    http://coreyrittenhouse.com/files/ETFCorrelation-10d color map.xls


  2. Posted by dskills on December 20th, 2008 at 7:14 pm

    Corey – I just tried downloading the file and I get file not found on your site. Looks like there are spaces in the name right now.


  3. Posted by Corey on December 21st, 2008 at 12:29 am

    here it is without the spaces

    http://coreyrittenhouse.com/files/ETFCorrelation-10dcolormap.xls


  4. Posted by dskills on December 21st, 2008 at 1:18 am

    Great stuff – I’ll try and incorporate it. Thanks so much for that.