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correlation matrix

7 messages · Eric Zivot, Joshua Ulrich, Arnaud Gaboury

Original
Arnaud Gaboury
# 
I have a xts object with assets daily closing prices. I would like to
print an usual correlation matrix of each asset against others. The
PerformanceAnalytics::table.correlation() function let me with a very
ugly output.
Is there any other function from a package which will print a user
friendly correlation matrix?

Thank You for help
Eric Zivot
# 
See the package corrplot - you get very nice visual plots of correlations and also printouts of all pairwise correlations. You may need to use coredata() to extract data as a matrix to be passed to the function corrplot().

-----Original Message-----
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> On Behalf Of arnaud gaboury
Sent: Friday, October 20, 2023 10:10 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] correlation matrix

I have a xts object with assets daily closing prices. I would like to print an usual correlation matrix of each asset against others. The
PerformanceAnalytics::table.correlation() function let me with a very ugly output.
Is there any other function from a package which will print a user friendly correlation matrix?

Thank You for help

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Arnaud Gaboury
#
On Fri, Oct 20, 2023 at 7:16?PM Eric Zivot <ezivot at uw.edu> wrote:
Arnaud Gaboury
#
On Fri, Oct 20, 2023 at 7:16?PM Eric Zivot <ezivot at uw.edu> wrote:
Thank you so much for your quick answer. It works perfectly as expected
Joshua Ulrich
#
On Fri, Oct 20, 2023 at 12:20?PM Eric Zivot <ezivot at uw.edu> wrote:
Very cool package! No need to use coredata(). This works:

data(edhec, package = "PerformanceAnalytics")
corrplot::corrplot(cor(edhec))

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Arnaud Gaboury
    

    

      
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On Fri, Oct 20, 2023 at 7:27?PM Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:

            

      
      
      
    

        
Well, that's it not so bad, but I honestly prefer the  solution from
package corrplot

            

      
      
      
    

        

      
      
    

            

      
      
      
    

  
  


  


      

    

    

      
      

        


  

        

      Joshua Ulrich
    

    

      
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On Fri, Oct 20, 2023 at 1:32?PM arnaud gaboury <arnaud.gaboury at gmail.com> wrote:

            

      
      
      
    

        
That *is* a solution using the corrplot() function from the corrplot
package. I only used the edhec data from PerformanceAnalytics, and
only for convenience because I knew you had that package installed.