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Finance Dictionary and Glossary of Investment Terms
Correlation coefficient
Definition 1.
A standardized statistical measure of the dependence of two random variables, defined as the covariance divided by thestandard deviations of two variables.
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Definition 2.
A measure that determines the degree to which two variable's movements are associated. The correlation coefficient is calculated as:
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Definition 3.
A statistical measure of the interdependence of two or more random variables. Fundamentally, the value indicates how much of a change in one variable is explained by a change in another. Used in portfolio analysis and modeling.
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