How is the correlation between two ETFs calculated?

Take the returns of both funds over the same periods, for example monthly, and compute how they move together relative to their own variability. The result goes from −1 (always opposite) to +1 (always together); 0 means no linear relationship.

What does a rolling correlation show?

It recomputes the correlation over a moving window, for example 36 months, so you see how the relationship changed. Two assets with a low average correlation can still move together in a sell-off, which a single number hides.

Do daily and monthly returns give different correlations?

Often yes. Daily correlations pick up noise and timing differences between markets that close at different hours, such as US and European listings. Monthly returns reduce those effects and usually suit long-term portfolios better.

Guide · checked November 2026

Best portfolio correlation analysis tools in 2026

Correlation tools measure how the returns of two or more assets moved together over a period, usually as a matrix of coefficients from −1 to +1. They differ in the coefficient they use, the return frequency (daily or monthly), and whether they show how the correlation changed over time, which is often what matters most for diversification.

Published by MEDGE Capital, which is one of the tools listed. Details of the other tools come from their public pages, checked in November 2026, with a link to each source below. Prices are list prices for one user, before tax; check with the vendor before you buy. The order is not a ranking.

Tool	Correlation analysis	Price
MEDGE Capital	A free ETF correlation matrix for up to ten US and European ETFs on monthly total returns, with 36-month rolling correlations and no sign-up. In the app, the Stress Lab estimates correlations separately for bear, neutral and bull markets.	Correlation matrix free without an account; Stress Lab from Essential (€14.99 a month). Essential €14.99, Plus €39.99, Pro €59.99, Advisor €159 a month; 7-day Plus trial
Portfolio Visualizer	Pearson correlations from daily, monthly or annual returns, and rolling correlations over a chosen number of trading days.	Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
PortfoliosLab	Spearman rank correlations of daily returns for stocks, ETFs, funds, indices and crypto; a diversification analysis adds clusters and the effective number of assets.	Free (10 calculations a month); Plus $10, Pro $25, Max $90 a month
testfolio	Asset Analyzer with a correlation matrix from daily returns, a rolling correlation between two tickers and a beta matrix; a separate principal component analysis tool.	Free; Pro $12.50, Pro+ $25 and Max $80 a month, billed annually
Stock Rover	A correlation heat map from daily dividend-adjusted price changes, over periods from 5 days to 10 years, including benchmarks, portfolios, watchlists and sectors.	Free research plan; paid plans from $29 a month billed annually; 14-day trial
Kwanti	Asset correlation calculator with daily or monthly returns, rolling correlation charts and an exponentially weighted option.	Single $224 per user a month, billed annually; Multi $195 a month (5-user minimum); 14-day trial

MEDGE CapitalOur tool

Portfolio analytics for self-directed investors and independent advisors, on US and European listings.

Correlation analysis: A free ETF correlation matrix for up to ten US and European ETFs on monthly total returns, with 36-month rolling correlations and no sign-up. In the app, the Stress Lab estimates correlations separately for bear, neutral and bull markets.
Price: Correlation matrix free without an account; Stress Lab from Essential (€14.99 a month). Essential €14.99, Plus €39.99, Pro €59.99, Advisor €159 a month; 7-day Plus trial
Fits if: you hold European or US ETFs and want to see how their correlations changed, not only today’s number.

Open the correlation matrix

Portfolio Visualizer

Web-based backtesting and portfolio analysis tools.

Correlation analysis: Pearson correlations from daily, monthly or annual returns, and rolling correlations over a chosen number of trading days.
Price: Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
Fits if: you want correlations at several return frequencies for US-listed assets.

Source: Asset correlations · Pricing

PortfoliosLab

Web app for portfolio analysis, backtests and optimization.

Correlation analysis: Spearman rank correlations of daily returns for stocks, ETFs, funds, indices and crypto; a diversification analysis adds clusters and the effective number of assets.
Price: Free (10 calculations a month); Plus $10, Pro $25, Max $90 a month
Fits if: you want rank correlations and diversification clusters.

Source: Asset correlations · Diversification analysis

testfolio

Web app for backtesting and portfolio analysis.

Correlation analysis: Asset Analyzer with a correlation matrix from daily returns, a rolling correlation between two tickers and a beta matrix; a separate principal component analysis tool.
Price: Free; Pro $12.50, Pro+ $25 and Max $80 a month, billed annually
Fits if: you want correlations, betas and principal components in one place.

Source: Asset Analyzer

Stock Rover

Investment research and portfolio management platform for North American markets.

Correlation analysis: A correlation heat map from daily dividend-adjusted price changes, over periods from 5 days to 10 years, including benchmarks, portfolios, watchlists and sectors.
Price: Free research plan; paid plans from $29 a month billed annually; 14-day trial
Fits if: you hold US and Canadian stocks and want correlation next to research.

Source: Correlation overview

Kwanti

Portfolio analytics and reporting for advisors.

Correlation analysis: Asset correlation calculator with daily or monthly returns, rolling correlation charts and an exponentially weighted option.
Price: Single $224 per user a month, billed annually; Multi $195 a month (5-user minimum); 14-day trial
Fits if: you are an advisor who needs correlation analysis in client reports.

Source: Correlation

Frequently asked questions

How is the correlation between two ETFs calculated?: Take the returns of both funds over the same periods, for example monthly, and compute how they move together relative to their own variability. The result goes from −1 (always opposite) to +1 (always together); 0 means no linear relationship.
What does a rolling correlation show?: It recomputes the correlation over a moving window, for example 36 months, so you see how the relationship changed. Two assets with a low average correlation can still move together in a sell-off, which a single number hides.
Do daily and monthly returns give different correlations?: Often yes. Daily correlations pick up noise and timing differences between markets that close at different hours, such as US and European listings. Monthly returns reduce those effects and usually suit long-term portfolios better.

More comparisons

See how your funds really move together.

Free plan with no time limit, no brokerage connection. Not investment advice.

Open the correlation matrix