table.Correlation {PerformanceAnalytics} | R Documentation

## calculate correlalations of multicolumn data

### Description

This is a wrapper for calculating correlation and significance against each column of the data provided.

### Usage

    table.Correlation(Ra, Rb, trim = TRUE, na.rm = FALSE, ...)

### Arguments

`Ra` | a vector of returns to test, e.g., the asset to be examined
`Rb` | a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.
`trim` | TRUE/FALSE, whether to keep alignment caused by NA's
`na.rm` | TRUE/FALSE Remove NA's from the returns?
`...` | any other passthru parameters

### Value

A dataframe with correlation and significance against each column of the data provided as `Rb`.

### Note

### Author(s)

Peter Carl

### References

### See Also

### Examples

    # First we load the data
    data(edhec)
    edhec.length = dim(edhec)[1]
    start = rownames(edhec[1,])
    start
    end = rownames(edhec[edhec.length,])
    edhec.zoo = zoo(edhec, order.by = rownames(edhec))
    rf.zoo = download.RiskFree(start = start, end = end)
    sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end)

    # Now we have to align it as "monthly" data
    time(edhec.zoo) = as.yearmon(time(edhec.zoo))
    time(sp500.zoo) = as.yearmon(time(sp500.zoo))
    time(rf.zoo) = as.yearmon(time(rf.zoo))
    data.zoo = merge(edhec.zoo,sp500.zoo)
    time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")
    time(rf.zoo) = as.Date(time(rf.zoo),format="%b %Y")

    table.Correlation(data.zoo[,14,drop=FALSE],data.zoo[,1:13])
    ctable = table.Correlation(data.zoo[,14,drop=FALSE],data.zoo[,1:13], conf.level=.99)
    dotchart(ctable[,1],labels=rownames(ctable),xlim=c(-1,1))

[Package PerformanceAnalytics version 0.9.5 Index]