See portCov sheet in portfolioNStocks.xlsx and compute the correlation between the equal-weighted (i.e., invests 25% for each) portfolio and the maximum Sharpe ratio portfolio.

Covariance Between Portfolios Covariance Between Min SD and Max SR Portfolios There are two portfolios-portfolio 1 and portfolio 2- as follows. If you know the weights for minimum SD and maximum SR portfolios, then you can compute the covariance between the two portfolios. w_aapl 0.1 0.4 W w_hpa 0.2 0.3 w pep 0.3 w wmt 0.4 0.1 W mins -0.0048 0.1563 -0.0544 0.5123 0.1115 0.3361 0.5411 W2 = 0.2 WmaxSR 0.4018 Q: What's the covariance between portfolios 1 and 2? A: Their covariance is Omins? OminsD 0.0152 =MMULT(MMULT(06:R6,019:G22),TRANSPOSE(06:R6)) 0.1232 =SQRT(09) = 012 = Cov[ru,r2] = Cov[w.TF, WTF) = w Ewa OmaxsR? OmaxsR 0.0281 =MMULT(MMULT(07:R7,019:G22),TRANSPOSE(07:R7)) 0.1677 =SQRT(012) NOTE: VECTORS IN ALL FORMULAE ARE COLUMN VECTORS UNLESS TRANSPOSED. Coy 0.0152 =MMULTIMMULT(06:R6, D19:G22),TRANSPOSE(07:R7)) 0.7343-015/(010*013) Corr 1 = 0.30 0.13 0.11 0.18 To = w, F = w, w, = 0.0893 0.0415 0.0119 0.0415 0.0745 0.0049 0.0036 0.0119 0.0049 0.0233 0.0089 0.0036 0.0075 0.0323 0.0089 0.0075 = 0.1604 =MMULT(DO:G6, TRANSPOSE(D17.G17)) 0.2003 =MMULT(D7:67,TRANSPOSE(D17:G17)) 12 0.0172 =MMULTIMMULT(D6:G6, D19:G22),TRANSPOSE(D6:46)) 0.1310 ESQRT(D27) 01 022 = 0.0359 =MMULT(MMULT(D7:67,D19:G22),TRANSPOSE(D7:67)) 0.1895 =SQRT(D30) 02 = 012 Corr[r1,72] 0.0204 =MMULT(MMULT(D6:G6,D19:G22),TRANSPOSE(D7:67)) 0.8230 =D33/(D28*D31) = Covariance Between Portfolios Covariance Between Min SD and Max SR Portfolios There are two portfolios-portfolio 1 and portfolio 2- as follows. If you know the weights for minimum SD and maximum SR portfolios, then you can compute the covariance between the two portfolios. w_aapl 0.1 0.4 W w_hpa 0.2 0.3 w pep 0.3 w wmt 0.4 0.1 W mins -0.0048 0.1563 -0.0544 0.5123 0.1115 0.3361 0.5411 W2 = 0.2 WmaxSR 0.4018 Q: What's the covariance between portfolios 1 and 2? A: Their covariance is Omins? OminsD 0.0152 =MMULT(MMULT(06:R6,019:G22),TRANSPOSE(06:R6)) 0.1232 =SQRT(09) = 012 = Cov[ru,r2] = Cov[w.TF, WTF) = w Ewa OmaxsR? OmaxsR 0.0281 =MMULT(MMULT(07:R7,019:G22),TRANSPOSE(07:R7)) 0.1677 =SQRT(012) NOTE: VECTORS IN ALL FORMULAE ARE COLUMN VECTORS UNLESS TRANSPOSED. Coy 0.0152 =MMULTIMMULT(06:R6, D19:G22),TRANSPOSE(07:R7)) 0.7343-015/(010*013) Corr 1 = 0.30 0.13 0.11 0.18 To = w, F = w, w, = 0.0893 0.0415 0.0119 0.0415 0.0745 0.0049 0.0036 0.0119 0.0049 0.0233 0.0089 0.0036 0.0075 0.0323 0.0089 0.0075 = 0.1604 =MMULT(DO:G6, TRANSPOSE(D17.G17)) 0.2003 =MMULT(D7:67,TRANSPOSE(D17:G17)) 12 0.0172 =MMULTIMMULT(D6:G6, D19:G22),TRANSPOSE(D6:46)) 0.1310 ESQRT(D27) 01 022 = 0.0359 =MMULT(MMULT(D7:67,D19:G22),TRANSPOSE(D7:67)) 0.1895 =SQRT(D30) 02 = 012 Corr[r1,72] 0.0204 =MMULT(MMULT(D6:G6,D19:G22),TRANSPOSE(D7:67)) 0.8230 =D33/(D28*D31) =