Covariance

statistics.cs

public static double Covariance(this IEnumerable<double> returnsA, IEnumerable<double> returnsM)
{
   int n = returnsA.Count();

   double avgReturnM = returnsA.Average();
   double avgReturnA = returnsM.Average();
   double sumCv = 0;

   for (int i = 0; i < n ; i++)
       sumCv += (returnsA.ElementAt(i) - avgReturnM) * (returnsM.ElementAt(i) - avgReturnA);

   return sumCv / n;
}