May I ask how to annualize correlation coefficient? - 金融分析師

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I only have monthly index data and wanna calculate annualized correlation

coefficient. Can I simply annualize the monthly return and calculate it

according to the annualized data? Thank you very much in advance for your

kind help!

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All Comments

Zenobia avatarZenobia2010-02-20
I guess your question is to annualize sigma
Connor avatarConnor2010-02-24
just multiply sigma by 12^0.5
Audriana avatarAudriana2010-02-28
yes, that's the way to calculate it but might
Hazel avatarHazel2010-03-04
under/overstate the correlation.