Correlation
How much two holdings move together, from minus one to plus one.
In the demo portfolio
0.29
How it is computed here
Pearson correlation of daily returns over the shared history. Crisis figures are taken from windows chosen by date, not by picking out the bad days.
Worked example
- For every pair of holdings, how closely their daily returns move together, from −1 to +1; then the average over the pairs.
- On a normal day the average is 0.29.
- Inside 2022 it rose to 0.48: diversification weakened exactly when it was needed.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
Selecting the worst days and measuring correlation inside them produces a falsely reassuring answer — a known selection bias. Correlations rise in crises; anything showing otherwise is measuring its own sample.