The Largest Correlation Matrix You've (Probably) Ever Seen

Presented below is a snapshot of a correlation matrix of all 500 S&P index components (equal weighted). Values were shaded to correspond with low correlations (red) and high correlations (green). Correlations based on returns from present going back to Jan 1, 2011.

The full matrix, composed of 250,000 individual calculation results was generated by the RiskAPI system in about 10 seconds. For those interested, the full result set is available for download here.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.