Asset correlation

The correlation page is only used if you select the asset correlation option on the model page. The correlation page allows you to set explicit cross-correlation across the assets in your portfolio.

Correlation values

Correlation between any pair of assets must be between -1 and 1. Correlation of 0 means the assets are independent.

Valid correlation matrix

In order to work with our model, the correlation matrix must be positive-definite. Generally speaking if your data is based on real-world correlation, it will likely be positive-definite.

If your correlation matrix is not positive-definite, you will see an error at the top of the page.

If the matrix is not valid, we can usually adjust the matrix to generate a valid positive-definite matrix. Click the button to update the matrix to the adjusted matrix.

If you don’t like the revised matrix, press Control-Z (or Command-Z) to undo the changes and make any necessary adjustments yourself.