Constructing a Variance Covariance Matrix in Excel

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This video shows you how to easily compute a sample variance/covariance matrix in Excel.

  1. Ronald Moy, Ph.D., CFA, CFP
  2. Finance
  3. Excel
  4. sample variance/covariance matrix
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Комментарии
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Great video! It helped me remember material from class a few years ago. I just started my CFA 1 prep. Do you have any help on how to interpret the data itself; what is it really telling the analyst aside from which assets have more/less correlated movement?

drew
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thank you, Ronald!! great video explanation

richaghevarghese
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Hi Ronald， thanks for the explanation. As from my understand we can actually compute the covariance using the formula = correlation(a, b) * std deviation A * std deviation B. But I realise that the output of covariance is significantly different from the covariance output of the data analysis in excel. Can I know which one should I refer to?

ryanyusyuen
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Thank you so much for the Just a question, what is the reasoning behind the number for the sample? Amazing video

zarpasuave