After running a minimum variance portfolio optimization on a universe of ETF's I see the resulting portfolios tend to be composed of bond ETF or related treasuries/government ETFs.
I suppose that makes sense because bonds have had lower variance in the periods I'm looking at, however I'm wondering what is the best way to ensure my portfolio is not so 'correlated' in one general asset class?
Is it necessary to impose constraints on the 'class' of ETF in the portfolio, or is there something more natural that can be done to ensure the portfolios optimize for both minimum variance as well as low correlation between the names selected?
thanks much, awesome community here.