Correlation Matrix VBA Macro - by Simon Benninga

Simon Benninga, a visiting Professor of Finance at Wharton, has very kindly contributed this VBA macro which allows you to compute a correlation matrix easily in any Excel spreadsheet.

The statistical definition of a Correlation matrix is that it describes correlation among M variables. It is a square symmetrical MxM matrix with the (ij)th element equal to the correlation coefficient r_ij between the (i)th and the (j)th variable. The diagonal elements (correlations of variables with themselves) are always equal to 1.00.

From the finance and investing perspective, a correlation matrix is often useful to assess the dependence (or independence) of a basket of shares, and more importantly their relative attractiveness and performance.

We have attached a spreadsheet below with the macro already inserted for your ease of use.

If you would like to program the macro yourself, you can refer to the instructions in this article:

http://www.financialmodelingguide.com/analytical-tools/benninga-cor...