# Tag Info

## New answers tagged correlation-matrix

0

If you're in Excel, get the returns of both portfolios into 2 columns, matched up by time. The "correl()" function will get you the correlation coefficient.

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You will need the covariance matrix to calculate this. Say you have a collection of $n$ assets. The value of asset $i$ is represented by the random variable $X_i$ and the corresponding portfolio weight is are $w_i$, and $v_i$ for the two portfolios. The correlation between the two portfolios is:  \frac{\sigma(w^TX,v^TX)}{\sqrt{(w^T\Sigma w)(v^T\Sigma ...

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