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Hello,

I'm trying to compute a correlation matrix for a number of series, and then take, say, 100 at least correlated series. Is there any way to achieve this? In other words, how can I take names of those 100 series which are at least correlated among the entire sample?

Best

what does "and then take, say, 100 at least correlated series" mean?

what does "and then take, say, 100 at least correlated series" mean?

OK, so let's say I have 10,000 series + 1 index, and I want to create a portfolio of 100 series which have the lowest correlation with the index. As I understand, I would have to create a correlation matrix, and then take names of 100 series that have the lowest correlation with the index. How can I do that?

I think I would loop through them calculating the covariance once at a time, recording the covariances in to a column of a matrix. Then you could sort the matrix and take the top (or bottom) 100.

I think I would loop through them calculating the covariance once at a time, recording the covariances in to a column of a matrix. Then you could sort the matrix and take the top (or bottom) 100.

Thank you Gareth.