'Adaptation of variance-covariance function in FM3

Function CorrMatrix(rng As Range) As Variant

Dim i As Integer
Dim j As Integer
Dim numCols As Integer
numCols = rng.Columns.Count
numRows = rng.Rows.Count
Dim matrix() As Double
ReDim matrix(numCols - 1, numCols - 1)

For i = 1 To numCols
For j = 1 To numCols
matrix(i - 1, j - 1) = _
Application.WorksheetFunction.Correl(rng.Columns(i), rng.Columns(j))
Next j
Next i
CorrMatrix = matrix
End Function