Minimum Correlation Algorithm (MCA)
Stay tuned for the release of our forthcoming whitepaper: “The Minimum Correlation Algorithm (MCA): A Practical and Effective Diversification Tool.” The paper will contain an overview of the algorithm logic as well as a comparison of the performance and diversification score of MCA versus Risk Parity, Maximum Diversification, and Minimum Variance. This heuristic algorithm is fast and relatively simple to calculate and can be applied effectively to both asset allocation and also to trading strategies. The complete “R” code for replication will be released in the paper. The scheduled release date is next Thursday.
Posted on September 12, 2012, in Uncategorized. Bookmark the permalink. 13 Comments.
Thank you David. Really curious to see how much better then Risk Parity is your algorithm.
thanks pete
best
david
Hi,
May I request a copy of the paper? My email is libin.ntu@gmail.com. Thanks.
Best,
Bin
hi bin, it will be available on the blog and other online sources.
best
david
I have been following your blog for a while now, and am really excited to read this paper. Keep up the great work!
thanks ben, appreciate that. hope you find it useful.
best
david
I’ve been anticipating the paper all week (actually since you first mentioned it months ago)! Where can I find it?
hi zack, thank you. this will be a draft towards a more formal ssrn paper on a broader topic. i hope you get something valuable out of it.
best
david
Hi, did the paper come out? Thx . Like the blog
hi, thank you. just waiting for approval on the compliance side- tommorow morning probably.
best
david
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