In this tutorial, we will use the logarithmic weekly returns of 16 ETFs for the period between September 28, 2015, and February 17 th, 2020 (just before the COVID-19 epidemic market volatility). Interested? Let’s get to it! Data Preparation In sum, we wish to transform the following input data table: This is exactly what we will cover in this issue. NumXL comes with numerous functions to compute the cross-correlation between two time-series, but how can we do so for, say, 20 variables without any intermediate calculations? Not to worry, Excel has a few functions: MATCH(.) and INDEX(.), that we can use in our formulas to make constructing a correlation matrix easy and quick. The topic of this issue was inspired by a support inquiry: how can I construct a correlation matrix for my N assets returns efficiently?
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