Correlation
See which baskets and factors move together, and which move differently.
Each portfolio’s daily return minus FW 3000. Factors use their long portfolios.
Baskets × factors
+1 means moving together; −1 means moving in opposite directions; 0 means no linear relationship in this window. Missing or constant returns show as —.
How this is calculated
Pearson correlation of daily simple returns on matching dates. Factors use top-quintile long portfolios; baskets use their published equal-weighted portfolios. These are not correlations of cumulative prices or of factor long–short spreads.
Relative returns subtract the same universe benchmark from both portfolios on each day. This measures co-movement in outperformance; it is not a beta-adjusted regression or an estimate of factor exposure.
Periods match the rest of the site: 5d, 20d and 60d use trading sessions; MTD starts with the current calendar month, YTD with the current calendar year, and 1y uses 252 sessions. Each pair needs at least five observations. Periods up to 20 sessions require every session; longer periods require at least 20 observations and 80% coverage. Missing returns are never filled with zeros. Pair-specific sample dates appear when you select a cell.
History before a basket’s creation is a backtest of its membership at creation. Intraday updates include the current partial session when present. Correlations describe the selected history and can change. Full methodology →
Snapshot date: 2026-09-04.