Hello all. I am not a stats person so I would like some help/confirmation on this one. What I am trying to achieve (if possible) is a metric on how two portfolios (or strategies) are correlated. Imagine there are two portfolios of assets A,B,C,D... with different weights of each asset. eg. P1 = (5, 2, 0, -3, ...) and P2 = (0, 3, 10, -5, ...) (Read this as Portfolio one consisting of 5 of asset A, 2 of asset B, no asset C, -3 of asset D and so on. The negative values means that the portfolio is short that asset.) Let the correlation coefficients of each asset pair be given such that we can construct a typical correlation matrix (NxN square matrix, where ai,j is the correlation coefficient for assets i and j). I *think* that all I need to do is: 1. Multiply each portfolio vector by the correlation matrix Mcorrelation°P1 = X1 and Mcorrelation°P2 = X22. Calculate the correlation onf the two datasets (vectors) X1 and X2 Corr(X1,X2) = Corr(P1,P2) I have done this for several portfolios and what I arrive at looks right, but I am not sure if it is right. Am I out to lunch? Thoughts? Much appreciated.