Blog Comments

  1. userque's Avatar
    Full Disclosure I compared them both (TNX and BND) against AGG, rather than the F-fund. While BND is sloppy next to the F-fund, it's nearly a perfect match (correlation-wise) to AGG ... much more than slightly better then TNX. And since we can only use the AGG for T/A charting purposes, it seemed logical to use that as the benchmark, rather than the F-fund.

    Also note, you compared percentages. Percentages aren't really correlations. For example:

    Imagine an Underlying and its 3x bull ETF. We'll call them UND and ETF. They are perfectly 'correlated.' When UND moves 1%, ETF moves exactly 3% in the same direction.

    Your analysis would show that the percentages don't 'match.' However, they are 100% correlated. The T/A done on one would exactly match the T/A done on the other.

    This is what's needed for charting purposes. On the other hand, if you were looking for something to match the actual percentage moves, then that would be a different animal.

    This is probably a critical distinction when finding a replacement for AGG with regard to chart T/A.

    Fun facts: I ran a correlation search over nearly all stocks and etf's (not indicies). IEF and UST are listed as 2nd and 3rd best correlated (Under BND). TNX wasn't in the top 20 I then ran a line chart comparison (%-wise) to visually see that they not only are correlated, their %-scales are the 'same.'

    I'd be curious to see your analysis comparing BND and TNX to AGG

    Quote Originally Posted by tsptalk
    Thanks. I had that one on my list but hadn't been checking it.

    Looks like neither are very consistant with the F-fund but BND may be slightly better.
  2. tsptalk's Avatar
    Quote Originally Posted by userque
    You may want to consider BND for an AGG substitute if needed in the future. They strongly correlate for charting purposes.
    Thanks. I had that one on my list but hadn't been checking it.

    Looks like neither are very consistant with the F-fund but BND may be slightly better.

  3. userque's Avatar
    You may want to consider BND for an AGG substitute if needed in the future. They strongly correlate for charting purposes.
SPY (C Fund) (delayed)

(Stockcharts.com Real-time)
DWCPF (S Fund) (delayed)

(Stockcharts.com Real-time)
EFA (I Fund) (delayed)

(Stockcharts.com Real-time)
AGG (F Fund) (delayed)

(Stockcharts.com Real-time)