Stock Correlation Calculator

Stock correlation measures how closely two stocks' returns moved together. The correlation coefficient is one number from -1 to 1. The calculator uses the Pearson formula: how much the two stocks' daily or monthly returns moved together over the same dates, divided by how much each one moved on its own.

A positive correlation, above 0, means the two tended to rise and fall at the same time. Near 1, they almost always did. Near 0, there was no steady link between them. A negative correlation, below 0, means they tended to move in opposite directions, which is what negatively correlated stocks look like.

This page calls a correlation of 0.7 or more a strong link, 0.4 to 0.7 moderate, 0.2 to 0.4 weak, and under 0.2 little or no link. The same bands apply below zero, with the direction reversed.

To find the correlation between two stocks, enter both tickers and pick a time period of 1, 3 or 5 years. With 3 to 5 tickers, the calculator measures every pair at once.

The heat map is a stock correlation matrix: one row and one column for each ticker, so every pair gets a cell. Each cell prints its correlation, so the shading is only a guide.

Gold shading means the pair moved in the same direction, and gray means opposite directions. Darker shading means a stronger link. The diagonal shows 1.00 because each ticker matches itself.

Above the grid, the results name the average correlation across all pairs and the highest and lowest pair. The table under the grid lists each ticker's annual return, with dividends reinvested, and its volatility over the same dates.

Say two stocks had these daily returns over six trading days. Stock A: 1.0%, -2.0%, 1.5%, 0.5%, -1.0% and 2.0%. Stock B: 0.8%, -1.5%, 0.7%, 0.2%, -0.6% and 1.2%.

Both rose and fell on the same days, and B moved less than A each day, so their correlation is 0.99, close to a perfect 1. Correlation compares the pattern of the moves, so B's smaller moves alone do not lower it.

In the calculator, the example opens with KO, PEP, NVDA and SPY over 3 years of daily returns. The grid shows one number for each pair, and the sentence above it names the average correlation and the pairs that moved most and least alike.

Then pick Monthly and 5 years. The grid recomputes from the prices already loaded, so you can see whether the pair that moved together the most over 3 years still did over 5.

The calculator works for ETF correlation too. Enter any stock or fund GNG prices, such as SPY, QQQ or SCHD. Funds that hold much the same stocks move closely together, so SPY and VOO, which both track the S&P 500, sit near 1.

For asset correlations beyond stocks, use it as an asset correlation calculator: pair a stock fund with a Treasury bond fund such as TLT or IEF, a gold fund such as GLD or a REIT fund such as VNQ. The examples under the tickers box load SPY and TLT, or SPY, GLD and VNQ, in one click.

How stocks and bonds move together changes over time, so compare the 1, 3 and 5 year results before reading much into one number.

Portfolio correlation is one way to look at diversification. A lower average correlation means your holdings did not move in lockstep, so a drop in one was less often matched by the others. Stocks in the same industry often move together more closely than stocks in different industries.

Correlations change. They often rise in broad sell-offs, when many stocks fall together, and daily and monthly returns can give different numbers for the same pair. The results describe history and do not forecast how the holdings will move next.

To see how a portfolio of correlated holdings could play out, try Monte Carlo Forecasting, which is free with a GNG account.