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Asset Classes EWMA Covariance Correlation Analysis
Average Correlation for Friday, May 24th, 2019:0.0182 (0.0000)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Asset Classes EWMA Covariance
Correlation Summary Table

Lower Corr:

-0.7456

Upper Corr:

0.8795

1st Factor:

0.5075

2nd Factor:

0.1720

  • Dataset Series
    The Asset Classes dataset contains the following series:
  • Barclays US Agg. Credit BAA
  • Barclays US Agg. Government
  • CBOE Volatility Index
  • Deutsche Bank Currency Returns Index
  • Gold Spot
  • Russell 2000 Index
  • S&P 500 Index
  • United States Dollar Index
  • iShares Cohen & Steers REIT ETF
  • iShares Global Energy ETF
  • iShares MSCI EAFE ETF
  • iShares MSCI Emerging Markets ETF