Create a covariance matrix and interpret a correlation matrix | Financial Modeling Tutorials

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A financial modeling tutorial on creating a covariance matrix for stocks in Excel using named ranges and interpreting a correlation matrix for data analytics in Quant 101.

For the full video transcript and cell formulas see:

Zoom straight to the section you are interested in:
01:03 - Video overview
01:33 - Step 1 - Review Our Data Set
03:54 - Step 2 - Collect Measures for Stock Returns
07:27 - Step 3 - The Covariance Matrix and Its Uses
11:18 - Step 4 - The Interpretable Correlation Matrix
16:24 - Step 5 - Next: Charting Portfolios

For the outline to the video series see:

See what else you can learn at:

Happy Learning!

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I am taking quantitative class and found your video helpful because it enables me to understand the application of covariance and correlation! Thank you!

gongxiaoli

What is your risk free rate? do you calculate the rf based on daily return?

jaffarabdullah

Wouldn't it be easier to just use the data analysis pack?

GalacticEgg

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