This tool allows you to chart any ratio, spread or correlation between 2 securities.
To find the ratios, spreads and correlations, locate the "Create New" button towards the right side of the Fundamental Charts:
To use the ratios, enter the two securities you would like to compare under Security A and B. You can use any stock, fund, index or economic data found on YCharts.
Under metric, specify the financial metric that you would like to chart. You can measure the ratio between prices, revenue, annual returns, etc.
Examples of ratios
- Stock return analysis: Ratio of a stock to an index's return to show relative performance.
- Stock comparison analysis: Use multiple ratios to compare a stock to competitors, the market overall and their sector.
- Economic data: See how US public debt changes versus GDP over 40 years.
The spread option takes the metric from security A and subtracts the metric from Security B.
Spreads will also include an option for "weight." The weight box allows you to multiply one of the metrics by a factor you enter. In the example below, if we put a 2 in the weight box it would double the dividend yield (TTM) of HYG.
Examples of spreads
- Stock comparison analysis: see the difference between Target and Walmart's revenue and gross profit margin.
- Stock comparison analysis: watch Google's market cap grow and overtake Microsoft.
- Economic data: Spread of brent crude oil to WTI crude oil.
- Fixed income: AAA corporate bond yield to 10 year treasury note.
- Tracking Error: View the MSCI EAFE index's return difference to EFA, an ETF that tracks EAFE. The values in this chart show the percentage that the index returned more than the ETF in that calendar year.
The correlations section measures the rolling correlation between the metrics you enter. A correlation of 1 means that the two metrics are in perfect correlation with each other; when one increases or decreases, the other follows in exactly the same way.
The lookback period of the correlation is determined by the frequency of the metrics you chose. If you're correlating metrics with different frequencies, the lookback period is found using the metric with the shorter frequency. For example, if you're correlating a company's revenue (quarterly) to their stock price (daily), the lookback period will be 11 quarters.
- Daily/weekly: 120 periods.
- monthly: 31 periods.
- Quarterly: 11 periods.
- Yearly: 3 periods.
The "lag" input will push the metric back by the number of periods you enter. For example, if you type a lag of 2 for a monthly indicator, the correlation calculation will look at that indicator 2 months prior to the other metric. This is helpful to see if an indicator "leads" another indicator.
Examples of correlations
- Stock analysis: See how correlated Apple's stock price is to the S&P 500.
- Stock analysis: See how oil prices are sometimes very correlated to Exxon's stock prices and other times they are not.
- Fund analysis: Compare the correlations of different large cap funds to the S&P 500.
- Economic Indicators: Here's an example using lag! The correlation is stronger between US inflation and Purchasing Managers Index (PMI) when you lag the PMI by 2. This indicates that a higher PMI could mean higher inflation in just a couple months.
If you have any other examples of ratios, spreads and correlations share in the comments below!