Once I have computed a correlation matrix for a portfolio of stocks, how do I calculate the UAC for the correlation matrix? ie, how do I strip out any auto correlation among the names?
I am trying to understand how changes in economic indicators like Unemployment Rate, Inflation Rate, and Consumer Sentiment affect the portfolio values. For that I want to measure the correlation ...
What would be an ideal way to estimate the covariance of an index with a basket of stocks? For example, should I use one-tail ANOVA test or an individual stock & index F-test?