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Use the Stock Correlation Calculator to compute the correlation coefficient for any stock, exchange-traded fund (ETF) and mutual fund listed on a major U.S. stock exchange and supported by Alpha Vantage.
In order to calculate the correlation coefficient, you will need information on returns (daily price changes) for two stocks over the same period of time. Returns are calculated as the difference between the closing prices of the stock over two days of trading.
To calculate the correlation coefficient between two values in Excel, you can use the CORRELformula. To use this for calculating correlation between two stocks or assets, do the following: Gather the returns (any interval works; daily is easiest) for two assets.
The correlation coefficient between two stocks is calculated using the Pearson correlation formula: \ [ r = \frac {n \sum (A_i B_i) - \sum A_i \sum B_i} {\sqrt { (n \sum A_i^2 - (\sum A_i)^2) (n \sum B_i^2 - (\sum B_i)^2)}} \] Where: \ ( n \) = Number of data points. \ ( A_i \) and \ ( B_i \) are the individual values of Stock A and Stock B.
First, gather the historical data for two stocks. Next, calculate the average return for each stock. Next, calculate the standard deviation for each stock. Next, calculate the covariance between the two stocks.
Formulas that calculate covariance can predict how two stocks might perform relative to each other in the future. Applied to historical returns, covariance can help determine if stocks'...
The correlation coefficient is a statistical measure of the strength of a linear relationship between two variables. Its values can range from -1 to 1.
Use the Stock Correlation Matrix Calculator to compute the correlation coefficients using monthly closing prices for up to five stocks, exchange-traded funds (ETFs) and mutual funds listed on a major U.S. stock exchange and supported by Alpha Vantage.
This stock correlation screener helps you find relationships between any equity instruments and their respective price or return movements over time enabling you to manage your portfolio risk more effectively.
How To Calculate Correlation. Cross-Correlation & Diversification. Current Cross-Correlation Between Bonds & Stocks. Bottom Line. Expand. Cross-correlation is a statistical measure of how...