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.

About these ads

14 thoughts on “Minimum Correlation Algorithm (MCA)

    • 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

  1. Pingback: Cluster Risk Parity « CSSA

  2. Pingback: ETF Prophet | Cluster Risk Method

  3. Pingback: An Elegant Measure of Diversification: The Cluster Gini Score (CGS) « CSSA

  4. Pingback: ETF Prophet | The Mighty Micro-Genetic Algorithm

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s