Portfolio Analytics

Correlation

Definition

What is Correlation?

A statistic ranging from minus one to plus one that describes how two return series move together.

Example in practice

A correlation near zero means two assets have shown little consistent co-movement.

Keep learning

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

A measure of how two variables or asset returns vary together.

An analysis of portfolio performance under severe but plausible scenarios.

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