Home → Techniques and Tips → Correlation in @RISK → 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