I'm trying to calculate the correlation between two separate portfolios.
A*COV(AB)*B to calculate the co-variance of each portfolio where:
A = Array of weights of stocks within portfolio 1
B = Array of weights of stocks within portfolio 2
COV(AB) = Co-variance/variance matrix of stocks within either portfolio
The result that comes out is an array with 1 row and 5 columns with the same figure in each column (picture below).
I'm wondering, is the co-variance of the portfolio the sum of the
1*4 array that I got for the answer, or just one cell in the array?
Thanks in advance!