ETF Correlation Tool

[ET180]

Does anyone know of a tool which compares ETFs to find other ETFs that are most correlated to it? For tax reasons / wash-sale rule, I can't buy a given ETF and want to find a substitute.

 

[murray t turtle]

Does anyone know of a tool which compares ETFs to find other ETFs that are most correlated to it? For tax reasons / wash-sale rule, I can't buy a given ETF and want to find a substitute.

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NOT exactly tool but here are some;
SPXL,UPRO\spxs,spxu,SPY,VOO. I'm not a CPA, but most of my trades/investments are in a tax free Roth...................................................................................................

 

[DaveV]

a) If you go to any of the popular ETF websites, such as etfdb.com or etfchannel.com, and search for an ETF, it usually will also display a list of similar ETFs.

b) If the ETF is based on a specific index, google ETFs that use that index.

 

[BKR88]

This site won't pick the ETF most correlated but you can input the 2 ETFs to compare correlation.
+1.00 = 100% correlation
-1.00 = 100% inverse correlation
https://www.etfreplay.com/correlation.aspx

Here's another tool to compare multiple ETFs/stocks.
https://www.etfscreen.com/correlation.php

 

[ph1l]

The attached etf_correlations.csv.zip (semicolon-separated fields) has three-year Quantdare correlations (no mean as in Pearson correlation) of daily percent changes for 550 ETFs (including ETNs). The symbols are for the 550 highest three month average volume, passive, unleveraged, non-inverse ETFS according to etfdb.com.

 

[ET180]

Thanks for all the responses. I appreciate. Looks like the closest correlation to SMH is SOXX.

 

[HobbyTrading]

Looks like the closest correlation to SMH is SOXX.

That's correct.

About a tool: I recall that in IB's TWS there is/was a tool to give a target (e.g. ETF, mutual fund) and then this tool comes up with a combination of other ETFs/mutual funds to replicate as close as possible that target. However, I haven't checked for several years whether the tool is still there.

 

[thecoder]

@ph1l, thx for the correlation list.
Just a few questions: when was this list generated?
And I just wonder why KOLD and BOIL are not included, as both are ETFs, and exist since 2011.
Are their volumes maybe too small for such a correlation analysis?
Thx

 

[GaryBtrader]

BOIL is leveraged and KOLD is an inverse fund. These aren't included in the list.

 

[ET180]

That's correct.

About a tool: I recall that in IB's TWS there is/was a tool to give a target (e.g. ETF, mutual fund) and then this tool comes up with a combination of other ETFs/mutual funds to replicate as close as possible that target. However, I haven't checked for several years whether the tool is still there.

Actually, yeah, IB will send me e-mails occasionally that there's a better ETF that matches exposure to a given ETF. There probably is a tool, I'll look it up next time I am in TWS.