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cordura21


Total Posts: 235
Joined: Aug 2009
 
Posted: 2009-09-04 14:57
Hi guys. Do you know a tool to search the stock universe by correlation to a future? For example "search companies whose absolute correlation to the copper future is high/greater than x".

The closest thing I know is the CORR function in Bloomberg, but I have to bring the companies myself and it will spit the correlations back to me. I want to do the reverse process.

Maybe there's a tool om Bloomberg or in any other platform. I prefer to use an existing price database instead of building my own.

TIA, Cord

Vespertilio homo est cientificus

briant57


Total Posts: 98
Joined: Feb 2009
 
Posted: 2009-09-04 15:16
Cordura21,

I have used this tool in the past, but it only gives you a select few results, and doesn't allow you use anything but stocks and etfs.

http://www.sectorspdr.com/correlation/

Clearly not exactly what you want but may be a last resort.


baghead


Total Posts: 865
Joined: Sep 2004
 
Posted: 2009-09-04 15:17
try XCRR 'go'

it downloads a spreadsheet that estimates correlation and other statistical parameters based on historical BBG data and ranks them.

settings -> import securities (button on the top right corner) is particularly helpful as you just select the SPX for example and the sheet adds all tickers of the 500 index members automatically

cordura21


Total Posts: 235
Joined: Aug 2009
 
Posted: 2009-09-04 15:51
Thanks both. Brian, that's exactly what I want to do (search by high correlation). Unfortunately it scans against a small universe and it shows you just 10 results, unless I'm missing something.

Baghead: thanks for the spreadsheet, looks really cool. From what I see it looks like it first retrieves historical data from them and then it does the calculation in excel. I just talked to Bloomberg to see if they can make the correlation index overridable, so you can directly search for high correlations in their platform. They said they are going to try to do it.

I still couldn't find how to search by correlation without giving Bloomberg a pre-selected universe. The closest way I found was to search by industry and then give that result as a portfolio to the CORR function to make it crunch the numbers.

Vespertilio homo est cientificus

raltin


Total Posts: 3
Joined: Mar 2019
 
Posted: 2019-03-09 18:29
Hi,

We have a technology that does exactly what you are looking for. It scans the entire universe of stocks, ETFs & mutual funds and shows the stocks/ETFs/mutual funds with the highest correlation.

Here are a few examples:
Mutual Fund: TRBCX: https://www.raltin.com/t/TRBCX/
ETF- XHB: https://www.raltin.com/t/xhb/
Stock- WMT - https://www.raltin.com/t/wmt/

You can search for any ticker and you can automatically get all the tickers that are highly correlated and inversely correlated.

nikol


Total Posts: 678
Joined: Jun 2005
 
Posted: 2019-03-09 21:42
sometimes i find curious relationships in GOOGLE CORRELATION

Of course, I understand it is not what you are looking for, but anyway.
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