Correlation Matrix


(Aris David) #1

Doing a mini project which will hopefully become useful to FreeTrade community in the future

http://www.quantmill.io/

This is actually one of the pre-requisites to diversification/portfolio allocation (or covariance)

What’s the point of buying 10-20 stocks when they are cross-correlated e.g. when one goes down, the other one goes down with it. Ideally when one goes down, the other one should offset it.

Gold for example is zero to negatively correlated to equities. When equities are down, gold goes up and vice versa.


(Chris) #2

I’m very interested in this. It’s something I’d pondered briefly but not figured out how to attack it.


(Alex Sherwood) #3

Vlad shared some useful info about this recently -


(Aris David) #4

Correlation Matrix by Sector (discretionary for consumer discretionary and staples for consumer staples)

And Country