I'd like to have a version of the matrix where I can see correlations over time for a smaller number of ETFs. For example, I want to look at quarterly correlations for 5 ETFs for the last 3 years. Or, annual correlations for 5 ETFs over the past 10 years.
Is there a way to modify the correlation matrix at the link above to show results over multiple time periods? If so, can you post how, please?
I have checked your correlation matrix and currently it is displaying the average correlation between different ETFs for the past 60 days.
This mean that it calculates the correlation for each trading bar in the past 60 days and returns the average.
The link below shows a mock-up of what I'm looking for. Can the structure shown at the link be done within QuantShare?
Link: https://drive.google.com/file/d/0BxSjaSuq_9wgazdEY1dmb3AtSDA/view?usp=sharing
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
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