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Medium correlation coefficient for a Portfolio

Asked by Fabrizio Marinelli on 30 Jan 2013

Hello,

In an Excel workbook I reported 10 time series of 10 titles that should cover the past 15 years. After i calculated the returns and the statistics (mean, std. dev, var, etc.) I'd like to calculate the medium correlation coefficient of the portfolio. I don't mean the correlation matrix, but a single number for the entire portfolio.

Is that possible?

Thanks.

8 Comments

Oleg Komarov on 30 Jan 2013

Sorry, not the lower diagonal but the average of all off-diagonal elements. Thus you need to multiple your calculation by 2 since the matrix is symmetric:

(0.7 + 0.1 + 0.3 + 0.0 + 0.0 + 0.6 + 0.1 + 0.3 + 0.6 + 0.5)/5

@Benji: I posted a link in first comment.

Fabrizio Marinelli on 30 Jan 2013

Ok ok i understand, thank you!

Shashank Prasanna on 30 Jan 2013

Thank Oleg, I thought it was for purchase only, appears there is free online view.

Fabrizio Marinelli

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