Re: Calculating from mutual share prices the correlation coeffiient of returns

Tech-Archive recommends: Repair Windows Errors & Optimize Windows Performance

xxxBogus-email-address_at_oblivion.com
Date: 09/19/04 

Date: Sun, 19 Sep 2004 07:40:42 -0400

>"xxxBogus-email-address@oblivion.com" <baldisbeautiful@bogus.com> wrote...
>...
>>DATA FROM YAHOO FINANCE
>>
>>Neuberger Berman Genesis Tr (NBGEX) Weekly 9/1/094 to 9/18/04
>>Col A
>>Date
>>13-Sep-04
>>7-Sep-04
>>30-Aug-04
>>23-Aug-04
>>16-Aug-04
>>*** [snip]
>>
>>Col G
>>Adj. Close*
>>39.86
>>39.65
>>39.28
>>38.73
>>38.44
>>*** [snip]
>...
>>Correlation Coefficient
>>=CORREL(H3:H431,R3:R431)
>>which returns 0.622
>>
>>(which, if accurate, indicates that the performance of these two funds
>>is highly correlated and do not further diversification goals)
>

=====

On Sat, 18 Sep 2004 20:22:15 -0700, "Harlan Grove" <hrlngrv@aol.com>
wrote:
>Do you really believe a time period of less than one month is sufficient to
>truly measure the correlation of returns in two mutual funds?!
>
>Perhaps I could interest you in a bridge or some beachfront property in
>Kansas to diversify your portfolio?
>

=====

I asked this Q in the misc.invest.mutual-funds newsgroup (at

http://groups.google.com/groups?q=+%22xxxbogus%22&hl=en&lr=&ie=UTF-8&selm=ilnok0l2afil7lp5vnctoqrn98lulp9r2b%404ax.com&rnum=2).
I saw several places in Bernstein's The Intelligent Asset Allocator
that he uses monthly, but Yao et al, in Managing Your Portfolio, uses
daily at pp. 38-39 and in multiple tables at 237-55.

Out of ignorance, I compromised w/ weekly. What is the most reliable
measure? Are there recognized authorities that analyze the pros and
cons of various periods?

Are the Excel mechanics in my original post here OK? More efficient
way to do the calculations?

Thx.

Relevant Pages

  • Re: Calculating from mutual share prices the correlation coeffiient of returns
    ... negative correlation for 20-25% of the 1000 simulated series. ... nonnegligible number of false positive correlations. ... most mutual funds other than sector funds are already ... You would realize significant additional diversification from ...
    (microsoft.public.excel.worksheet.functions)
  • Re: Linear correlation, circular correlation, or other?
    ... I am collecting hours of data from multiple sensors at tens of kilo ... do linear correlation, B) do cyclic correlation, or C) buffer incoming ... Another way to frame the question is to ask: "over what time period ... another sequence B then you may be wasting compute time because the ...
    (comp.dsp)
  • RE: IDS Correlation
    ... The following is a listing of correlation techniques I have seen publicly. ... Statistics Table holds key information about Event counts and Time period over hosts. ... This is a manual process of configuring rules to act as a higher-level signature. ...
    (Focus-IDS)
  • RE: IDS Correlation
    ... > Cross Organization Correlation ... > Managed Service Providers and Intelligence Service Providers ... > Time period over hosts. ... > Vulnerability Name and Event Correlation. ...
    (Focus-IDS)