I am trying to compute correlations between returns to many firms. A piece of data in SAS format is in the table below (permno is a firm identifier) - of course, I have more years and lots of firms (permno's) that enter and exit the sample. What I am trying to do is to create a correlation matrix of firm returns for each year. The obvious solution is just to create a new return variable for each firm (return1 for return to permno=10001, return2 for permno=10002); then merge tiny files (year, month, returnX) by year month; then do proc corr with a by year clause. The downside is that the loop to do that runs for a long time and, like I said, firms enter and exit the sample. Is there a short-cut? I tried proc mixed, but could not figure out how to make it deliver just a plain correlation matrix I described above, without filtering out any fixed/random effects.   permno year month return 10001 2000 1 -4.412 10001 2000 2 1.538 10001 2000 3 -1.576 10001 2000 4 1.172 10001 2000 5 -2.317 10001 2000 6 2.767 10001 2000 7 -1.563 10001 2000 8 4.762 10001 2000 9 7.576 10001 2000 10 2.857 10001 2000 11 6.25 10001 2000 12 3.268 10002 2000 1 -2.564 10002 2000 2 -16.316 10002 2000 3 2.893 10002 2000 4 1.235 10002 2000 5 -2.439 10002 2000 6 4.125 10002 2000 7 -1.212 10002 2000 8 -1.84 10002 2000 9 -25.25 10002 2000 10 16.949 10002 2000 11 1.812 10002 2000 12 5.765 ... View more