Index Correlations Report

Automated Correlation Reporting for Multi-Index Analysis

Client

Investment Bank

Business Problem

The bank’s analysts were manually retrieving index data from a corporate database to run correlation analysis across major fixed income indices.

Each report required manual extraction, data cleaning, and spreadsheet setup. This repetitive process slowed down the team’s ability to run timely analyses, respond to portfolio managers, and support investment strategy decisions—especially when rapid shifts in market volatility required on-demand correlation views.

Solution Delivered

We built a custom Excel Add-In that connects securely to the firm’s internal market data source and automates the entire index correlation analysis process.

Key features included:

  • An intuitive selection menu for choosing index families, asset classes, and date ranges for historical correlation
  • Automated generation of PivotTables and correlation matrices, along with dynamic charts that update in real-time
  • Built-in logic for handling missing data, aligning time series, and normalising returns
  • One-click export of charts and tables into report-ready formats for presentation to strategy leads and CIOs

The Add-In enabled fast, repeatable, and analyst-driven insight generation, removing the bottleneck of manual data prep.

Results

  • Reduced correlation analysis time from 2+ hours to under 10 minutes per request
  • Enabled on-demand generation of visual reports for strategy, CIO and presentations
  • Improved consistency in correlation calculations, eliminating analyst-specific methodology variations that previously produced inconsistent outputs.
  • Empowered analysts to explore more scenarios and timeframes without IT involvement
  • Created a reusable reporting tool that scales across multiple asset classes and teams

Technology

Excel | VBA

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