HomeTechniques and TipsCorrelation in @RISKExcel Reports a Correlation Different from what I Specified

5.11. Excel Reports a Correlation Different from what I Specified

I specified a correlation coefficient, but when I apply Excel's CORREL( ) function to the simulation data a different correlation is reported. Why?

Briefly, in the correlation matrix in @RISK you supply rank-order correlation coefficients (Spearman), but Excel calculates product-moment correlation coefficients (Pearson). In @RISK 5.5.0 and later, you can use the RiskCorrel( ) function to show the Spearman coefficient after a simulation, and it should be close to what you specified.

For full details, please see How @RISK Correlates Inputs, particularly the last few paragraphs.  That page contains a downloadable example to illustrate the issues.

Last edited: 2015-06-23

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