Correlation Matrix Report


This report can be created by selecting the Reports / Correlation Matrix... command from within any window.  This report is available in the Professional and Advisor versions.


This report shows a correlation matrix of the monthly returns between different groups in your portfolio.  The matrix can be displayed for the following groups:

Asset Type

Investment Goal


Investment Type


The correlation matrix can be calculated for any number of months, and ending on any date.  Set the Comparison Months and Ending report date in the Report Settings Dialog.  Optional gridlines may be drawn. An option to show the table in a compact format is available that will cause the column widths to be sized to the correlation coefficients only, and not the column labels.


The correlation coefficients can vary between -1 and 1.  A value of 1 indicates the two groups are perfectly matched.  A value of -1 indicates they are perfectly matched, but in a negative manner (when one goes up, the other will go down with the same strength).  A value of 0 indicates there is no relationship between the groups.

Calculation Details:

The correlation coefficient for a group is determined by calculating returns from a weighted average of the investments in that group.  The weighting is based on the ending value.  The returns are simple monthly returns over the specified comparison months, ending on the ending report date.  A simple monthly return is:


Return = (End_price + Dist_per_share - Start_price) / Start_price


The monthly returns for both groups are calculated.  The correlation of these returns is calculated using the formula:



where 'n' is the number of comparison months, and 'x' are the returns for the first group, and 'y' are the returns for the second group.  When calculating returns your current interpolation range preferences are used.  If sufficient pricing data is not available the correlation will not be reported.  Calculation details are written to the report calculation log (Help / Report Calculation Log...).

See Also

About Reports

Report Settings Dialog

Correlation to a Benchmark


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