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First, find out which ETFs are correlated with one another over time. Let the data matrix $\mathbf{X}$ of ETF price returns have $t$ rows and $p$ columns, where the $t$ rows are bars or days, and the $p$ columns in the dataset are ETFs. Next, determine the correlation matrix $\mathbf{R}$ for the ETF-to-ETF correlation, and then run principal components ...