Video Tutorials

Metric Catalog

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.Last modified 3mo ago