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Correlation |
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Definition of CorrelationCorrelationSee: correlation coefficient. CorrelationThe simultaneous change in value of two random numeric variables.
Related Terms:AutocorrelationThe correlation of a variable with itself over successive time intervals. coefficient of correlationa measure of dispersion that indicates the degree of relative association existing between two variables correlation analysisan analytical technique that uses statistical Correlation coefficientA standardized statistical measure of the dependence of two random variables, Correlation CoefficientA measure of the tendency of two variables to change values Correlation coefficientA statistic in which the covariance is scaled to a DiversificationDividing investment funds among a variety of securities with different risk, reward, and Information Coefficient (IC)The correlation between predicted and actual stock returns, sometimes used to Magic of diversificationThe effective reduction of risk (variance) of a portfolio, achieved without reduction R squared (R^2)Square of the correlation coefficient proportion of the variability explained by the linear R squared (R^2)Square of the correlation coefficientthe proportion of the variability in one series that can be Tactical Asset Allocation (TAA)An asset allocation strategy that allows active departures from the normal Value-at-Risk model (VAR)Procedure for estimating the probability of portfolio losses exceeding some
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