Correlation Matrix by Month, Year

Correlation Matrix by Month, Year

Dave W.
2014-10-02 10:53:20

I have a nice looking correlation matrix (see: http://www.quantshare.com/item-1415-correlation-matrix-41-major-etfs).

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?

Thanks.

QuantShare
2014-10-03 03:34:01

Hi Dave,

Not sure I understand exactly what you need.

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.

Dave W.
2014-10-03 08:56:53

Hi. Yes, the current matrix works great.

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

QuantShare
2014-10-03 11:17:16

Best Answer

Hi,

In the pivot table, add a new column (besides Symbols) and set its formula to "year()"

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