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bio website bit.ly/GFscreener11
location stackoverflow.com@askmarcos.com
age
visits member for 2 years, 11 months
seen Oct 22 at 22:20

Pioneers are the ones with arrows in their backs.

Investment Portfolio Software, Trade Automation

Designer of infinite compression algorithms, and other research projects


Mar
10
revised age-sensitive correlation measurements in finances
clarified title
Mar
10
asked age-sensitive correlation measurements in finances
Mar
9
comment portfolio diversification tester
somewhat duplicate of: quant.stackexchange.com/questions/1143/minimizing-correlation
Mar
9
comment portfolio diversification tester
So to incorporate this into my process, basically I need to 1. Gauge the correlations between each pair of existing positions once at the beginning and remember the initial WAC, next 2. For each new candidate, learn from somewhere its correlations with each of the positions in the portfolio, and finally 3. Run the correlation matrix sum again as if the candidate already belonged to the portfolio, and see how it changed the WAC up or down from the original--down meaning less aggregate correlation(less risk).
Mar
9
comment portfolio diversification tester
I think I see. So for the 16 positions in that example, the final WAC would be the sum of the 15 + 14 + 13 + ... 2 + 1 = 16^2 /2 or 128 possible pairs applied into that formula.
Mar
8
comment portfolio diversification tester
Yeah something like that. You mean a matrix like ones at assetcorrelation.com/custom?period=91&portfolio=1648 ? Only I don't get your formula yet for the case of N existing positions. I do want the WAC to factor in the sizes(each position different) so that seems like the right track.
Mar
8
awarded  Supporter
Mar
8
comment portfolio diversification tester
assetcorrelation.com gives you an "Intra-portfolio diversification" but it's a lot of work to see how it changes from one addition to your basket (and my algorithms need to evaluate thousands quickly)
Mar
8
revised portfolio diversification tester
clarified, added research
Mar
8
awarded  Student
Mar
8
awarded  Editor
Mar
8
revised portfolio diversification tester
added example
Mar
8
asked portfolio diversification tester