Calculating Covariance and Correlation

Both correlation and covariance are indicators of the relationship between two variables. They indicate whether the variables are positively or negatively related, i.e., how they move together. For example, what is the relationship between the performance of gold and S&P 500 index?

Covariance measures the comovement between two variables i.e. the amount by which the two random variables show movement or change together.

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