I have a portfolio of assets. Each assets have been discretionally (based on investment manager experience) related to economic factors like (like exchange rate inflation spread etc). Now for each asset I want to see if effectively those fator are relevant in order to make a regression and find the betas (coefficient of regression). My question is: what correlation should I use? Pearson which is only a linear based approach or Spearman which can also deal (I am right) with non linear relations and outliers? I did both but clearly I get different results so I need to choose among them. Thanks.Luigi
Indeed Pearson correlation coefficients measure only linear relationships. Spearman correlation coefficients measure only monotonic relationships
There is a comprehensive article there.