Correlation - Security Correlation Analysis
Finds Pearson correlation coefficient between two securities
Function Syntax
=PFR.Correlation(Security_1, Security_2, MostRecentDate, Periodicity, Interval, SampleCount, UseSyntheticPrices, RefreshMode)
Parameters
| Parameter |
Description |
| Security_1 | First Bloomberg security |
| Security_2 | Second Bloomberg security |
| MostRecentDate | Most recent date |
| Periodicity | Bar scale |
| Interval | Bar interval for MINUTE |
| SampleCount | Number of samples (default=60) |
| UseSyntheticPrices | Allow synthetic prices |
| RefreshMode | Refresh rate: INTERVAL, DAILY, WEEKLY, MONTHLY, or FREEZE |
Output Columns
| Column |
Description |
| Output 1 | Security Symbols |
| Output 2 | Run Date/Time |
| Output 3 | Periodicity |
| Output 4 | Interval |
| Output 5 | Sample Count |
| Output 6 | Pearson r value |
Note: This function requires Bloomberg Terminal to be running and logged in.