Question

I have a database with 101 simulations for, lets say, 5 different asset classes returns.

I need to write a query that will calculate the respective correlations between each of the 5 classes. Table will look something like this:

AssetClass_ID | Simulation | AssetClass_Value

Any ideas? I am struggling to get even close.

(Depending on difficulty I may end up having to tell the end user to just download all the simulations and do the stats using inbuilt EXCEL functions, but I am unlikely to be popular for doing so)

Answer 1

Ok, with some google and some work I came up with:

SELECT  
        AssetID_1, AssetID_2,
        ((psum - (sum1 * sum2 / n)) / sqrt((sum1sq - sum1*sum1 / n) * (sum2sq - sum2*sum2 / n))) AS [Correlation Coefficient],
        n
FROM
        (SELECT 
                n1.AssetClass_ID AS AssetID_1,
                n2.AssetClass_ID AS AssetID_2,
                SUM(n1.RunResults_Value) AS sum1,
                SUM(n2.RunResults_Value) AS sum2,
                SUM(n1.RunResults_Value * n1.RunResults_Value) AS sum1sq,
                SUM(n2.RunResults_Value * n2.RunResults_Value) AS sum2sq,
                SUM(n1.RunResults_Value * n2.RunResults_Value) AS psum,
                COUNT(*) AS n
        FROM
                dbo.tbl_RunResults AS n1
                LEFT JOIN dbo.tbl_RunResults AS n2 ON n1.Simulation_ID = n2.Simulation_ID
        WHERE   

                n1.AssetClass_ID  < n2.AssetClass_ID AND
                n1.series_ID = 2332 AND
                n2.series_ID = 2332

    GROUP BY
        n1.AssetClass_ID, n2.AssetClass_ID) AS step1
ORDER BY
        AssetID_1

Answers match Excel inbuilt functions so far, so good.