Covariance Calculator

To get the result, fill out the calculator form and press the Calculate button.

What is the Covariance ?

Covariance measures the directional relationship between the returns on two assets. A positive covariance means asset returns move together, while a negative covariance means they move inversely

Covariance is calculated by analyzing at-return surprises (standard deviations from the expected return) or multiplying the correlation between the two random variables by the standard deviation of each variable

Covariance Formula

Sample Covariance formula

standard deviaton
  • Cov(xy) denotes to sample covariance
  • Xi is the observed values X dataset
  • Yj is the observed values Y dataset
  • N is the number of observations

Population Covariance formula

standard deviaton
  • Cov(xy) denotes to population covariance
  • Xi is the observed values X dataset
  • Yj is the observed values Y dataset
  • N is the number of observations

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