Yashkir Consulting

Financial Applications



Lasers & Matter



Portfolio Correlatios

The Portfolio Correlations applications were created in order to provide the tool for calculation of correlation coefficients either in static case (company-to-company correlation matrix for a given time period) or in dynamic case (average correlation for chosen subportfolio in a sliding time window as function of time).
The subportfolios for the correlation calculation are user-created by choosing: Region, Country, Sector, or Industry.
Correlation can be also calculated for user-defined indexes (the price time series for an index is calculated as weighted average of prices for participating companies). Indexes can be one of: Region, Country, Sector, Industry. For example, correlations can be calculated for indexes of Countries in a given Region, for companies in a given Sector.
The Eigenvalue Analyses is applied to correlation matrixes in order to identify companies (indexes) which provide most of the portfolio volatility.