Cross-Asset Correlation Matrix
Analyze structural relationships across Equities, Rates, FX, and Commodities.
Model & Capabilities
MethodologyCalculates Pearson correlation coefficients on daily log-returns. Green (+1) indicates perfect positive correlation, while Red (-1) indicates inverse correlation.
Regime FilteringFilter the historical data to specific market conditions before calculating the matrix.
- High Vol: VIX > 20
- Uptrend: SPY > 50d MA
Interactive Rolling ChartsClick any cell to open a chart showing the 60-day rolling correlation. Use this to verify if a relationship is stable or breaking down.
Based on 0 trading days of data.
Asset Legend
SPYS&P 500 ETF (US Large Cap Equities)
QQQNasdaq 100 ETF (Tech/Growth Equities)
IWMRussell 2000 ETF (Small Cap Equities)
SHY1-3 Year Treasury Bond ETF (Short Dur)
TLT20+ Year Treasury Bond ETF (Long Dur)
GLDSPDR Gold Shares (Precious Metals)
USOUnited States Oil Fund (Energy)
UUPInvesco DB US Dollar Index Bullish Fund
FXYInvesco CurrencyShares Japanese Yen Trust
BTC-USDBitcoin (Cryptocurrency)
^VIXCBOE Volatility Index (Market Fear)