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MS Office Forum / Excel / Worksheet Functions / May 2006Correlation Matrix
I have 30 securities with 5 years on monthly returns Securities across row A and returns down the columns A B C D 1 IBM TGT HD 2 1 3 2 3 -.5 2 -1 4 2 6 -3 I want to create a matrix that correlates the return of every security against every securit IBM TGT HD IBM TGT HD Is there a way to put a look up function into a correlation furnction when you want it to supply you with an array? =Correl(lookup (IBM,other work sheet row A, give array set below IBM in other work sheet), lookup TGT, other work sheet row a, give array set below TGT in other worksheet) This type of formula is not working for me so any suggestions would be great. Assumptions: Source table... A1:C1 contains IBM, TGT, and HD A2:C4 contains your data Results table... F1:H1 contains IBM, TGT, and HD E2:E4 contains IBM, TGT, and HD Formula: F2, copied down and across: =CORREL(INDEX($A$2:$C$4,0,MATCH($E2,$A$1:$C$1,0)),INDEX($A$2:$C$4,0,MATCH (F$1,$A$1:$C$1,0))) If you want the formula to leave the cell empty when correlating the same security, try the following formula instead... =IF($E2<>F$1,CORREL(INDEX($A$2:$C$4,0,MATCH($E2,$A$1:$C$1,0)),INDEX($A$2: $C$4,0,MATCH(F$1,$A$1:$C$1,0))),"") Adjust the ranges accordingly. Hope this helps! > I have 30 securities with 5 years on monthly returns > Securities across row A and returns down the columns [quoted text clipped - 21 lines] > > This type of formula is not working for me so any suggestions would be great. you rock!!! thanks that worked > Assumptions: > [quoted text clipped - 52 lines] > > > > This type of formula is not working for me so any suggestions would be great. An alternative is to use the Correlation option from the Analysis Toolpak. It will return the correlation matrix, as values, not formulas. Pieter Vandenberg : Assumptions: : Source table... : A1:C1 contains IBM, TGT, and HD : A2:C4 contains your data : Results table... : F1:H1 contains IBM, TGT, and HD : E2:E4 contains IBM, TGT, and HD : Formula: : F2, copied down and across: : =CORREL(INDEX($A$2:$C$4,0,MATCH($E2,$A$1:$C$1,0)),INDEX($A$2:$C$4,0,MATCH : (F$1,$A$1:$C$1,0))) : If you want the formula to leave the cell empty when correlating the : same security, try the following formula instead... : =IF($E2<>F$1,CORREL(INDEX($A$2:$C$4,0,MATCH($E2,$A$1:$C$1,0)),INDEX($A$2: : $C$4,0,MATCH(F$1,$A$1:$C$1,0))),"") : Adjust the ranges accordingly. : Hope this helps! :> I have 30 securities with 5 years on monthly returns :> Securities across row A and returns down the columns [quoted text clipped - 21 lines] :> :> This type of formula is not working for me so any suggestions would be great. What if you have a results table which has labels that are the same? The Match function simply finds the first instead of moving down to the proper label. For example, my data essentially looks like this: A B C... 1st# 2nd# 3rd# 4th# 5th# Sum Avg Med 1st# 2nd# 3rd# 4th# If only there was some way to have =Correl($A$2:$A$94,A$2:A$94) increase the column value as you drag the auto fill handle down... I need the matrix to be dynamic, which is why the analysis toolkit matrix won't work for me. Thanks in advance (as always)! > Assumptions: > [quoted text clipped - 52 lines] > > > > This type of formula is not working for me so any suggestions would be great. You can use the OFFSET function to dynamically create the array references. Something like: =IF(B$1=$A2,"",CORREL(OFFSET(Sheet1!$A$2,0,MATCH($A2,Sheet1!$1:$1,FALSE)-1,5,1),OFFSET(Sheet1!$A$2,0,MATCH(B$1,Sheet1!$1:$1,FALSE)-1,5,1))) The first part of the IF just says not to bother correlating a security against itself. The MATCH functions figure out which columns of data to pull from sheet1. The OFFSET functions use the match results to create the two arrays; the 5 in each OFFSET is to get five rows -- years -- of data. --Bruce > I have 30 securities with 5 years on monthly returns > Securities across row A and returns down the columns [quoted text clipped - 21 lines] > > This type of formula is not working for me so any suggestions would be great. |
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