Is there a correlation between exercising and acne?

Yes: I can tell when somebody's a bodybuilder who does bench presses by the acne over the shoulder blades ("acne mechanica"). Really. Truth be told, though, there's no reason to be asking this, as all acne should be manageable with today's rx's. I'd encourage you to stay fit for its own sake, and if it exacerbates your acne, manage it with a good prescription medication your physician can give you.