The model calculates static or rolling correlations (12, 24, 36, 48, 60 months) for the given time period, based either on end-of-month values or monthly returns, going back to Dec. 1995. Including a chart to visualize changes over time. 29 indicators included. You can replace any of them with the most appropriate ones for your analysis, by uploading historical values in the “Master” sheet.
Correlation statistically measures the degree of relationship between two variables in terms of a correlation coefficient that lies anywhere between +1.0 and -1.0. When it comes to diversified portfolios, correlation represents the degree of relationship between price (returns) movements of different assets included in the portfolio. A correlation of +1.0 means prices (returns) move totally in tandem (perfect positive correlation); a correlation of -1.0 means that prices (returns) move in completely opposite directions (perfect negative correlation). A correlation of 0 means the movement of one asset has no effect on the movement of the other asset. Well, diversified portfolios should include uncorrelated or inversely correlated assets.
Depending on computer capacity, the file may take between 20 and 30 seconds to download.
This model template comes as a PREMIUM version in .xlsx file type which can be opened using MS Excel.