Rytvae Consulting · Think Right · Invest Right
Covariance & Correlation Calculator
Result
Chart
Show formula & working
Covariance = Σ (a − ā)(b − b̄) ÷ (n − 1) [sample] or ÷ n [population]
Correlation ρ = Covariance ÷ (SDa × SDb), between −1 and +1
Details
How this works
Covariance shows whether two investments tend to rise and fall together; correlation scales it to between −1 and +1 so it can be compared.
Assets with low or negative correlation smooth a portfolio's ride — the basis of diversification.
Frequently asked questions
Does this match Excel?
Yes: COVARIANCE.S / COVARIANCE.P and CORREL.
Is correlation stable?
No. Correlations change over time and often rise in market crashes, just when diversification is needed most.