Rolling Pearson r of daily close-to-close returns for 10 cross-asset ETFs. Toggle 30/60/90-day windows, inspect drift vs
90-day average, and read the crisis gauge. Cells with p > 0.05 shown faded.
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Avg Correlation (30d)
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vs 90d avg
Diversification Score
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equal-weight 10-asset
Regime Level
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Correlation Heatmap
-1.0-0.50+0.5+1.0
Faded cells = p > 0.05
More negativeNo changeMore positive
Current window vs 90d average
Crisis / Regime Indicator
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r=0 (Decoupled)r=0.35 (Elevated)r=0.5+ (Crisis)
Average cross-asset correlation above 0.50 signals
crowded positioning or forced deleveraging — historically precedes sharp drawdowns.
A reading below 0.20 is healthy for a diversified portfolio.
Key Diversification Pairs
Diversification Scores
Score = 1 - avg correlation. Higher = more diversified.
Optimal uses equal-weight across all 10 assets vs classic 60% SPY / 40% TLT.