Clik here to view.
Specific differences between Ledoit-Wolf and factor models
What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with...
View ArticleClik here to view.
On “Stock correlation has been rising”
Ticker Sense posted about the mean correlation of the S&P 500. The plot there — similar to Figure 1 — shows that correlation has been on the rise after a low in February. Figure 1: Mean 50-day...
View ArticleClik here to view.
More S&P 500 correlation
Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations. However, it is possible to see more of the distribution...
View ArticleClik here to view.
S&P 500 correlations up to date
I haven’t heard much about correlation lately. I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The...
View ArticleClik here to view.
S&P 500 sector strengths
Which sectors are coherent, and which aren’t? Previously The post “S&P 500 correlations up to date” looked at rolling mean correlations among stocks. In particular it looked at rolling mean...
View ArticleClik here to view.
Predicted correlations and portfolio optimization
What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike...
View ArticleClik here to view.
A pictorial history of US large cap correlation
How has the distribution of correlations changed over the last several years? Previously Posts about correlation boxplots explained Data Daily returns of 443 large cap US stocks from 2004 through 2012...
View ArticleClik here to view.
A complicated answer to a simple correlation question
A data analysis surprise party. Simple question If I have correlation matrices each estimated with a month of daily returns, how much worse is the average of six of those compared to the estimate with...
View Article
