How the numbers are produced

Every figure here is computed from two kinds of source, and each page prints the date of the data it used. Nothing is estimated, and no number is carried forward from a previous run.

Where the data comes from

Holdings come from the funds' own published files: the daily or monthly holdings each issuer posts for its ETFs. Weights are used exactly as published. When two issuers write a company's ticker differently, the tickers are normalised before matching, so a shared holding is not missed because one file writes BRK.B and another BRKB.

Prices are end-of-day, adjusted for dividends and splits, which is why the returns shown are total returns rather than price changes.

The three overlap measures

Published overlap figures for the same pair of funds often disagree, because sites quote different measures without naming them. This site publishes all three.

Overlap by weight is the sum, across every company both funds hold, of the smaller of its two weights. If a company is 6% of one fund and 4% of the other, it contributes 4. This measure is symmetric: it is the same number whichever fund you name first, and it is the one quoted as the headline figure.

Share of fund A held in common is the part of A's own weight that sits in companies B also holds, as a percentage of A. It is not symmetric, and the asymmetry is usually the interesting part: a small fund can be almost entirely contained in a large one while representing a fraction of it.

Companies in both is a plain count, useful for seeing when a high weight overlap rests on very few names.

Returns, volatility and drawdown

Returns are cumulative total returns over the window named on the page, not annualised, computed from adjusted end-of-day prices. Volatility is the annualised standard deviation of weekly returns over three years. The worst fall is the largest peak to trough decline over the same three years, measured on weekly closes. Beta is measured against the S&P 500 on three years of weekly returns.

Correlation

Correlations are Pearson correlations of weekly total returns over the window stated next to each figure. Weekly rather than daily returns are used because daily figures for funds trading in different sessions overstate how independent they are.

When the data refreshes

Prices refresh after the US close on trading days. Holdings refresh when the issuer publishes a new file, which is daily for some funds and monthly for others, so a page can carry a price date more recent than its holdings date. Both dates are printed on the page rather than merged into one.

What is not here

No forecasts, no ratings, no model portfolios sold as recommendations. The site describes what funds hold and how they have behaved. What to do with that is not something a page can decide.

Corrections

If a figure looks wrong, it may well be. Write to the address on the about page with the page and the number, and it will be checked against the source file and corrected or explained.