All-Weather ETF Portfolio: Minimum Correlation Allocation
Scott's Investments | Mar 11, 2013 05:05AM ET
In January I launched an minn corr backtests , with tests being run from December 2007 – February 2013. The “min.corr.excel” results used a formula close to the calculation on my All-Weather spreadsheet.
The current Minimum Correlation allocations are below:
Note: my minimum correlation formula differs slightly from the method in the The Minimum Correlation Algorithm in that I use a 20-day historical volatility & correlation versus the 60-day range used in the paper. Using a shorter time period allows the spreadsheet to load quicker, but I may change the 20-day look-back period in the future.
Any errors or omissions in my Min Corr calculation are my own. I have done my best to review and scrub the data, but I make no warranties. As my programming knowledge evolves I hope to post additional minimum correlation backtests.
Past performance is no guarantee of future results. To learn more about the Minimum Correlation algorithm please take a few minutes to visit CSS Analytics.
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