Asset Correlation Matrix
Paste return series for several assets and calculate a private Pearson correlation matrix.
SAMPLE RETURNS, NOT MARKET DATA. SERIES MUST COVER THE SAME PERIODS. ALL CALCULATION STAYS IN THIS BROWSER.
| ASSET | SPY | BTC | GLD |
|---|---|---|---|
| SPY | 1 | 0.952 | -0.702 |
| BTC | 0.952 | 1 | -0.764 |
| GLD | -0.702 | -0.764 | 1 |
Asset Correlation Matrix calculation coverage
- 01
Local pasted data
- 02
Pearson coefficients
- 03
Heat-mapped matrix
Historical correlation is sample-dependent, unstable and not a forecast.
About this tool
An asset correlation matrix compares how multiple return series moved together over the same observations. Pearson values range from minus one to plus one, with values near zero indicating little linear relationship in the sample.
How it works
For each asset pair, Pearson correlation divides covariance by the product of both standard deviations using aligned observations. The diagonal equals one.
| Parameter | How it is used |
|---|---|
| Asset label | Identifies each return series. |
| Return observations | Provides aligned numeric data for comparison. |
| Sample period | Determines the market regime represented. |
| Correlation coefficient | Summarizes pairwise linear co-movement. |
Perfect opposite movement in a small sample
Three aligned return observations: asset A is 1%, 2%, 3%; asset B is 3%, 2%, 1%.
Both means are 2. Deviations are (−1, 0, 1) and (1, 0, −1); their standardized co-movement is −1.
The pairwise Pearson correlation is −1 for this three-observation sample.
A tiny constructed sample is useful for checking the method, not for estimating a durable diversification benefit.
How to use this tool
- Prepare return series with matching dates and frequency.
- Paste each series into a labeled row and calculate the matrix.
- Review strong clusters, then repeat across different periods and stressed markets.
Frequently asked questions
What correlation is good for diversification?
Lower or negative correlation can improve diversification, but suitability also depends on volatility, expected return, liquidity and behavior during stress.
Should I use prices or returns?
Use aligned percentage or log returns. Raw price levels can produce misleading correlations because of trends and scale.
Why does correlation change by period?
Asset relationships depend on market regimes, policy and investor behavior. A historical coefficient is not a permanent property.