Cross-Asset Correlation Matrix
Analyse how crypto correlates with stocks, gold, and other assets. Low or negative correlation means better diversification.
Rolling 90d Correlation: Bitcoin vs S&P 500
About This Dashboard
Portfolio managers live and die by correlation analysis. The core question: "Does adding crypto to my portfolio reduce overall risk through diversification, or does crypto just move in lockstep with equities?" This dashboard computes pairwise correlations between crypto assets and traditional benchmarks using daily return data.
Reading the Matrix
- +1.0: Perfect positive correlation — assets move together. No diversification benefit.
- 0.0: No correlation — assets move independently. Good for diversification.
- −1.0: Perfect negative correlation — assets move in opposite directions. Maximum diversification.
- Colour guide: Green cells = low/negative correlation (good diversifier); Red cells = high positive (moves together).
Rolling Correlation
Correlations are not static. They shift with market regimes — often rising sharply during market stress (the "correlation goes to 1 in a crisis" effect). The rolling chart lets you see how the relationship between any pair changes over time.
Diversification Score
The diversification score is calculated as 1 − average pairwise correlation. Higher values mean the assets in the set move more independently, offering greater diversification benefit when combined in a portfolio.
Limitations
- Correlations computed from daily returns may differ from weekly or monthly correlations.
- FRED equity/gold data excludes weekends — the alignment uses only matching business days.
- Past correlations may not persist in future regimes.
Related Tools
- Risk-Adjusted Returns — Sharpe, Sortino, and drawdown analysis
- Cross-Asset Performance — Normalised return comparison
- Bitcoin vs M2 — Liquidity correlation thesis
- Position Size Calculator — Risk-based position sizing
Data sources: CoinGecko (crypto prices), FRED (S&P 500, gold).