Then Change your data structure to fit the PROC CORR .
data have;
input ID $ Date : mmddyy10. Return;
format date mmddyy10.;
cards;
A 1/1/2001 .01
A 2/1/2001 .005
A 12/1/2001 -.001
B 1/1/2001 .009
B 2/1/2001 .015
B 12/1/2001 -.005
C 1/1/2001 .007
C 2/1/2001 .005
C 12/1/2001 .002
;
proc sort data=have out=temp;
by date;
run;
proc transpose data=temp out=want;
by date;
var return;
id id;
run;
proc corr data=want;
var a b c;
run;
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