The asset correlation matrix proves that Treasuries are great diversifiers. It shows the correlation coefficient between Treasuries, developed markets, and emerging market stocks.

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ ...

Any correlation matrix can be decomposed into characteristic entities called Eigen values and Eigen vectors. Assuming one wouldn't know the direction of the true Eigen vectors – that is, by keeping ...

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...

Find out how asset correlation impacts your portfolio When two assets move in the same direction together, they are considered to be highly correlated. When these asset class move in opposite ...

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.