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How To Calculate Variance Covariance Matrix?

Hi board,

I want to calculate the yearly standard deviation of a portfolio with a few hundred stocks. I plan to first calculate the variance covariance matrix for the portfolio's stocks and then use matrix algebra (like here http://www.fenews.com/fen39/back_to_...n-formulas.htm) to arrive at the porfolio's standard deviation.

I have a large array with stock returns that looks like this:

StockID;Year;Month;Return;Portfolio
123456;1990;1;0.05;1
234567;1990;1;0.06;1
345678;1990;1;0.02;2
...

If there would be 100 different stock IDs, I would like to calculate a 100x100 matrix that contains the covariances of the returns of the stocks of that portfolio for a specific year.

I did some experiments with array formulas like {=cov(if(stockID=...);if(stockID=...))} but that didn't work. I couldn't find any plugins that would help. Any ideas?

Thanks alot in advance!


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