Rolling correlation
The correlation over a fixed number of the most recent observations, recomputed at every date.
How to read it
Shows whether a relationship is stable or drifts. A line that swings widely means any single correlation figure for the pair is a snapshot, not a constant.
In Kereon
Charts · Correlation. Each point uses only the window of returns ending that day. The historical average and the band (±2 standard deviations) at a date are built from the rolling values BEFORE it, once there are two windows and a year of them. A significant change compares a window with the one just before it (non-overlapping, counted back from the latest) by Fisher's z, adjusted for every comparison on the chart; a breakdown is a significant move toward zero from 0.5 or more.
Also called: rolling correlation.