Rolling Correlation

What it means: Rolling correlation shows how relationships between assets over a specific time window change over time.

In plain terms: Sometimes assets that usually move together suddenly stop, rolling correlation helps you spot that.

Example: Stocks and bonds might have low correlation most of the time, but during crises, they move the same way for a bit.

Bonds vs Equities vs Crypto:

• Bonds: Correlation stable, slow-moving.
• Equities: Correlation rises in global sell-offs.
• Crypto: Shifts dramatically depending on sentiment.

How to use it: Rolling correlation is best viewed alongside a correlation matrix. If correlations are creeping higher, your portfolio may be losing its edge during shocks. This is a metric to monitor closely during turbulent times.