Asset Correlation Matrix

That two assets' daily returns moved in the same direction most of the time, with a strong linear relationship. A correlation of 1 means they moved in lockstep, 0 means no linear relationship, and minus 1 means they moved in exact opposition. Correlation says nothing about the size of the moves, only their direction and consistency.

Pearson correlation of daily log returns over the trailing year, roughly 250 trading days, using only days where every selected asset traded. Prices are daily closes. The matrix is recomputed each trading day after the close.

A portfolio's risk depends on how its holdings move together, not just on how risky each one is. Two assets with a correlation of 0.95 are close to one bet; adding the second barely reduces risk. Assets with correlations near zero or negative do most of the diversification work, which is why bonds, gold and managed futures appear in portfolios despite lower expected returns.

No, and that is the main limitation. Correlations between risk assets tend to rise sharply in a crisis, when diversification is needed most. The stock-bond correlation in particular has flipped sign across decades depending on whether inflation or growth was the dominant worry. Read any matrix as a description of the recent past.

Forty-plus major ETFs and stocks: the broad US and international indexes, Treasuries of several maturities, corporate and high-yield bonds, gold, silver, oil, commodities, REITs, the dollar, bitcoin, the eleven sector ETFs and the largest US companies. Select up to twelve at a time.