A Trader Journal

High correlations affect traders and investors several ways. It makes diversification less effective at reducing portfolio risk, and it makes correctly sizing positions and managing risk increasingly important. Most people think of correlation as a single number; however, a single number cannot capture the dynamic nature of correlation.

One reason for a dynamic approach to correlation is that correlations can change as fundamental market forces change. The below article discusses capturing correlation from a rolling period perspective. Similarly another problem with traditional measures of correlation is they are treated as linear relation between the assets. But correlations are dependent on how well the assets themselves are behaving. The articles discusses capturing this aspect (non linear relationship) via scatter plots.

Let me know any other interesting methods you come across to capture correlations between assets. Article link: Correlations

"Correlation does not imply causation"