Market behavior
Return correlation matrix
Inspect how ETF daily returns moved together during a chosen historical window. The matrix reports measurements, not a synthetic portfolio score.
What is measured
Pearson correlation on daily percentage returns after matching observations by date. +1 means returns moved together, 0 means little linear relationship and −1 means opposite movement.
Window sensitivity
A 20-day result can differ materially from a 252-day result. Short windows react quickly; long windows blend several market regimes.
Important limit
Low historical correlation does not guarantee lower future risk. Pairwise correlation also ignores position sizes; use Portfolio X-Ray alongside this matrix.