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, ...)

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.
... any other passthru parameters to cor.test

Value

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

Author(s)

Peter Carl

See Also

cor.test

Examples

# First we load the data
data(managers)
table.Correlation(managers[,1:6],managers[,7:8])
ctable = table.Correlation(managers[,1:6],managers[,8,drop=FALSE], conf.level=.99)
dotchart(ctable[,1],labels=rownames(ctable),xlim=c(-1,1))
[Package PerformanceAnalytics version 0.9.9-5 Index]