Correlation Matrix (NPMC)

I'd like tyo be able to see a matrix showing the correlation of returns of stocks to the market and to my portfolio to help see which stocks provide diversification benefits to a portfolio. I have seen only one tool online that provides a correlcation matrix but its not clear how it does the calc (price vs returns) and its not clear what period it looks back over. A tool inside Navexa with parameters to set the type of correlation, period of the lookback and if the correlation is to an index or your own portfolio would be helpful. It would allow me to understand the current level of diversification of my portfolio, what stocks are provding diversification benefits (vs those that don't add much) and analyze the potential diversificaton effects of adding or removing specific stocks.