Dear R helpers,

Suppose I have stock returns data of say 1500 companies each for say last 4 years. Thus I have a matrix of dimension say 1000 * 1500 i.e. 1500 columns representing companies and 1000 rows of their returns.

I need to find the correlation matrix of these 1500 companies. 

So I can find out the correlation as 

cor(returns) and expect to get 1500 * 1500 matrix. However, the process takes a tremendous time. Is there any way in expediting such a process. In reality, I may be dealing with lots of even 5000 stocks and may simulate even 100000 stock returns.



Kindly guide. 

Vincy 





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