Medium correlation coefficient for a Portfolio

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.

Yes, it is. Are you referring to http://www.jstor.org/stable/2328653?

Yes, exactly! Matlab has any function that allows the calculation of that coefficient?

Well, but it's just the average of the lower diagonal correlation coefficient matrix.

With 10 time series, there is not much computational effort spent on calculating the correlation coefficient matrix first.

So, let's say that the time series is about 5 titles; correlation coefficient matrix is, for example:

1,0	0,7	0,1	0,0	0,1
0,7	1,0	0,3	0,0	0,3
0,1	0,3	1,0	0,6	0,6
0,0	0,0	0,6	1,0	0,5
0,1	0,3	0,6	0,5	1,0

The average correlation coefficient is just [(0.7 + 0.1 + 0.3 + 0.0 + 0.0 + 0.6 + 0.1 + 0.3 + 0.6 + 0.5)/10]?

Do you have the formula for the medium correlation coefficient? I can't find anything online.

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.

Ok ok i understand, thank you!

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