Pearson Correlation Coefficient Calculator
Compute the Pearson correlation coefficient (r) between two ETFs for free. This calculator takes recent daily returns for the funds you choose and returns r on the standard −1 to +1 scale, with an interpretation in plain English so you know whether the relationship is strong, weak, positive, or negative.
What is the Pearson correlation coefficient?
Pearson's r is a single number between −1 and +1 that measures the strength and direction of the linear relationship between two series. +1 is perfect positive (they move in lockstep), 0 is no linear relationship, and −1 is perfect negative (they move oppositely). It is the most widely used measure of how two variables move together.
How this calculator computes r
Rather than asking you to paste numbers, the calculator fetches recent daily closing prices for the ETFs you select and converts them to daily returns. It then applies the Pearson formula — the covariance of the two return series divided by the product of their standard deviations — over their common trading dates. The result is bounded to the −1 to +1 range.
Interpreting the value
The sign tells you direction and the magnitude tells you strength. As a guide, |r| of 0.8–1.0 is very strong, 0.6–0.8 strong, 0.4–0.6 moderate, 0.2–0.4 weak, and under 0.2 negligible. Remember that correlation is not causation, and that r only captures linear relationships — a strong curved relationship can still show r near zero.
Why returns, not prices
Feeding raw prices into the Pearson formula tends to produce misleadingly high correlations, because both price series usually trend upward over time. Daily returns remove that shared trend and isolate genuine co-movement, which is why this calculator — and standard financial practice — uses returns.
Frequently asked questions
What does an r of 0 mean for two ETFs?
It means there's no linear relationship between their daily returns over the period — knowing how one moved on a given day tells you essentially nothing about the other.
Can I compute r between an ETF and a custom code?
Yes. Use the curated list for one fund and type any 6-digit ETF code in the custom box for the other, then calculate.
Is R-squared shown too?
The tool reports r. R-squared is simply r², so you can square the value yourself — an r of 0.7 corresponds to an R-squared of 0.49.