Average Correlations

Average correlations measure the mean of half of a correlation matrix of assets. They answer the question: is the variability of returns of group of assets linearly related?

Data Source: Tradewell

Correlation metrics are proprietary metrics that are unavailable in the free version of our platform. Click the link below to unlock access by purchasing a paid membership.

Pricing | Tradewell

Average Correlation Metrics

Data updates at 5PM EST

n-Day Sector Correlation

An Average Pearson Correlation of S&P500 sector returns over a chosen lookback period. The sectors included in this calculation include XLU (Utilities), XLE (Energy), XLP (Consumer Staples), XLF (Financials), XLI (Industrials), XLRE (Real Estate), XLB (Materials), XLV (Healthcare), XLY (Consumer Discretionary), XLK (Technology). This is a proprietary metric native to the Tradewell platform.

n-Day Balanced Portfolio Correlation

An Average Pearson Correlation of returns of asset categories representing elements of a typical balanced portfolio over a chosen lookback period. The asset categories included in this calculation include SPY (US Equities), EEM (Emerging Markets), GLD (Gold), TLT (US Treasuries) and HYG (High Yield). This is a proprietary metric native to the Tradewell platform.

n-Day Commodities Correlation

An Average Pearson Correlation of commodity category returns over a chosen lookback period. The categories included in this calculation include DBA (agriculture), DBE (energy), DBP (precious metals) and DBB (base metals). This is a proprietary metric native to the Tradewell platform.

n-Day FAANG Correlation

An Average Pearson Correlation of FAANG stock returns over a chosen lookback period. The stocks included in this calculation are FB (Facebook), AAPL (Apple), AMZN (Amazon), NFLX (Netflix) and GOOG (Google). This is a proprietary metric native to the Tradewell platform.

n-Day Global Debt Correlation

An Average Pearson Correlation of global debt returns over a chosen lookback period. The global debt included in this calculation include TLT (US Treasuries), EMB (Emerging Market Debt), IGOV (European Treasuries) and HYG (High Yield). This is a proprietary metric native to the Tradewell platform.

n-Day Precious Metals Correlation

An Average Pearson Correlation of precious metal returns over a chosen lookback period. The precious metals included in this calculation include GLD (gold), SLV (silver), PALL (palladium) and PPLT (Platinum). This is a proprietary metric native to the Tradewell platform.

n-Day Safe Havens Correlation

An Average Pearson Correlation of traditional safe haven asset returns over a chosen lookback period. The assets included in this calculation include TLT (US treasuries), GLD (gold), FXY (Japanese Yen), FXS (Swiss Franc), XLP (Consumer Staples) and XLU (Utilities). This is a proprietary metric native to the Tradewell platform.

n-Day US Equities Correlation

An Average Pearson Correlation of US equity index returns over a chosen lookback period. The equity indices included in this calculation include SPY (S&P500), QQQ (Nasdaq100), IWM (Russel5000) and DIA (Dow Jones Industrial Average). This is a proprietary metric native to the Tradewell platform.