Correlations, Portfolios

Multi-Horizon Correlation Map. Correlations are calculated over selectable 25, 90, or 250 business-day horizons for a variety of assets. Historical volatilities are shown on the diagonal. Click play below to examine the relationship through time. For pairs, click on the bubble first.

Calendar note: RiskSnap currently uses a Monday-Friday analytical calendar. Some exchanges, including Saudi Arabia, trade Sunday-Thursday.

Portfolio Analytics

Holdings

Use the Correlations section to select holdings, then enter the number of units held and the portfolio’s Book Cost. For equities, units are shares; for futures, enter the underlying units represented by the position (Treasury futures: 1,000 units per contract; use the +1/−1 contract buttons). Equity options may be added below. If desired the portfolio may be saved locally in your cache. When no saved portfolio is loaded, RiskSnap creates an approximately equal-notional portfolio from the selected holdings, using one or more whole contracts for futures. Click the chart button beside a holding for price history.

Book Cost:

Portfolio name:

Market Prices: Not refreshed Risk Data: Latest completed EOD

Security		EOD price	Market price	Units	Agreed price	Initial margin (USD)	EOD Value	Current Value	Vol (EOD)	TTM Yield¹	An. Wtd. Total Return	Sharpe Ratio	Beta vs SPY	Beta vs ^FVX (5Y yield)
Equities/futures subtotal						—	—	—

¹ Div is the trailing twelve-month (TTM) dividend or distribution yield for the selected EOD date: split-adjusted cash dividends or ETF distributions during the preceding 12 months divided by that EOD price.

5Y rate sensitivity: A coefficient of 0.0541 means an estimated 0.541% asset return for a 10 basis point rise in the US 5-year yield. Yield changes are measured in percentage points; this is a historical relationship, not a forecast.

Book Cost: Enter the net cost of the positions: share purchase prices plus fees, futures fees, and option premiums plus fees. Premiums paid are positive; premiums received for written options are negative. Exclude margin deposits, which are collateral. Gain/Loss equals signed Market Value less Book Cost. Enter the combined Book Cost for all positions above.

Futures: Enter the agreed price and a signed quantity: positive units are bought and negative units are sold. Futures value equals (market price − agreed price) × signed contracts × contract factor. Initial-margin defaults are IBKR Canada/US overnight requirements in USD as of September 20, 2026 and remain editable.

Equity Options

Underlying Trade date Expiry Strike Type Contracts

Contracts are signed: positive is long and negative is short. The multiplier is fixed at 100. EOD Value = EOD model price × signed contracts × 100. Delta-equivalent shares = signed contracts × 100 × option delta; these are risk exposure, not shares owned.

Option prices versus risk volatility: Current and EOD option prices use implied volatility (IV) from the currently loaded smoothed surface, selected at the strike relative to the current stock price. Outside the grid, IV uses the nearest moneyness or tenor boundary. EOD uses the EOD stock price and time remaining from the EOD date, but the same current IV, rate and forward dividend yield from the surface; it is a model estimate, not an EOD option quote. The Price button loads the surface again in the pricer, so its result may differ if market inputs have changed. Portfolio volatility in Analytics is calculated from historical equity returns, not this option IV. Options and futures are excluded from equity-only volatility, beta and Sharpe.

Underlying	Trade date	Expiry	Strike	Put/Call	Contracts	Multiplier	EOD Spot	Current Spot	Fwd Yield	IV (current)	EOD model price	Current model price	Delta-equiv. shares	EOD Value	Current Value
No equity options added.

Portfolio Market Value (EOD)

Available after Matrix History loads.

TTM Dividends Used for Matrix History

Loading dividend history...