Portfolio Analytics

Covariance

Definition

What is Covariance?

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

Example in practice

Positive covariance means the two return series tend to be above or below their averages together.

Keep learning

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

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.

An analysis of portfolio performance under severe but plausible scenarios.

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