Portfolio Correlations

Introduction

This portfolio correlation testing tool allows you to build multiple portfolios with different asset allocations and view correlations between portfolio returns for the given time period. You can also view the rolling correlation for a given number of trading days to see how the correlation between portfolios has changed over time. This helps in understanding diversification benefits and portfolio overlap.

Model Configuration

Months

Portfolios

#
Holding
Weight (%)
No holdings added yet. Click "Add Holding" to get started.
#
Holding
Weight (%)
No holdings added yet. Click "Add Holding" to get started.

Add at least 2 portfolios with holdings to perform correlation analysis. Weights will be automatically normalized.