Spearman's rank correlation
How consistently two investments' returns rise and fall together in rank order, from −1 to +1.
Pearson's correlation measured on the RANKS of the returns instead of their sizes: it asks only whether a bigger move in one came with a bigger move in the other, so a single violent day cannot carry it.
Formula
ρs = Pearson correlation of the ranks of A and of B
How to read it
Read like Pearson's: +1 always in the same order, −1 always opposite. Well below Pearson's on the same pair means a few large days are doing much of the work.
In Kereon
Charts · Correlation. Pearson's r on mid-ranks (tied returns share the average of their positions); p from Student's t on n − 2, as SciPy's spearmanr; a 95% interval from Fisher's z with variance 1.06 ÷ (n − 3).
Also called: spearman, spearman's rho, spearman correlation, rank correlation.