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Stock To Sector Correlation

Using the RSInsight Weekly Relative Strength results, you may want to take a position in a particular industry group.  The problem is that the indices I use are not actually listed on exchanges.  They are composites made up of listed stocks.  I prefer these indices to traded ones because they are not subject to hedge fund liquidation, extreme exhuberence in the markets, etc.  They fully reflect the market prices of their components. 
 
I added a module to the RSInsight application called Correlator.  It compares a given symbol or index to either a single symbol, a watchlist, or the entire market.  The output is the correlation coefficient for that symbol against each member of the compare group.
 
The list is sorted automatically by highest correlation.  The way to read the results is that the higher the correlation, the more similar are the moves in the two tickers.  For example, we compare MG110-Chemicals to the universe of all stocks.  In about 10 seconds, I am presented with a list of all stocks, sorted by the most highly correlated.  The Vanguard Materials ETF (VAW), has a coefficient of 0.9494.  This means that 94.94% of market days, over the past year, VAW has moved in the same direction as MG110.  This is a very tradeable correlation.  If I wanted to buy MG110, I would use VAW as a proxy.
 
The reason I list multiple correlated symbols here is many-fold.  Firstly, not all correlated symbols are very liquid.  This is especially true for newer ETFs.  Secondly, you may trade options, and not all top-correlated ETFs are optionable.  Thirdly, not all accounts have access to all ETFs, depending on your privileges.  In general, you can pick almost any ETF over 85 or 90 correlation for a successful proxy.
 
 
MG110 CHEMICALS
 
 
MG120 ENERGY
 
 
MG130 METALS & MINING
 
 
MG210 CONGLOMERATES
 
 
MG310 CONSUMER DURABLES
 
 
MG320 CONSUMER NON-DURABLES
 
 
MG330 AUTOMOTIVE
 
 
MG340 FOOD & BEVERAGE
 
 
MG350 TOBACCO
 
 
MG410 BANKING
 
 
MG420 FINANCIAL SERVICES
 
 
MG430 INSURANCE
 
 
MG440 REAL ESTATE
 
 
MG510 DRUGS
 
 
MG520 HEALTH SERVICES

 

MG610 AEROSPACE/DEFENSE
 
 
MG620 MANUFACTURING
 
MG630 MATERIALS & CONSTRUCTION
 
 
MG710 LEISURE
 
 
MG720 MEDIA
 
 
MG730 RETAIL
 
 
MG740 SPECIALTY RETAIL
 
 
MG750 WHOLESALE
 
 
MG760 DIVERSIFIED SERVICES
 
 
MG770 TRANSPORTATION
 
 
MG810 COMPUTER HARDWARE
 
 
MG820 COMPUTER SOFTWARE & SERVICES
 
 
MG830 ELECTRONICS
 
 
MG840 TELECOMMUNICATIONS
 
 
MG850 INTERNET
 
 
MG910 UTILITIES
 
 
 
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