Skip to content

Minimum Correlation Algorithm (MCA)

September 12, 2012

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 Comments leave one →
  1. Pete permalink
    September 12, 2012 1:56 am

    Thank you David. Really curious to see how much better then Risk Parity is your algorithm.

    • david varadi permalink*
      September 18, 2012 12:28 am

      thanks pete
      best
      david

  2. September 17, 2012 3:43 am

    Hi,

    May I request a copy of the paper? My email is libin.ntu@gmail.com. Thanks.

    Best,
    Bin

    • david varadi permalink*
      September 18, 2012 12:27 am

      hi bin, it will be available on the blog and other online sources.
      best
      david

      • Ben permalink
        September 19, 2012 12:20 pm

        I have been following your blog for a while now, and am really excited to read this paper. Keep up the great work!

  3. david varadi permalink*
    September 20, 2012 12:16 am

    thanks ben, appreciate that. hope you find it useful.
    best
    david

  4. Zack permalink
    September 20, 2012 4:25 pm

    I’ve been anticipating the paper all week (actually since you first mentioned it months ago)! Where can I find it?

    • david varadi permalink*
      September 21, 2012 1:03 am

      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

  5. David permalink
    September 20, 2012 10:43 pm

    Hi, did the paper come out? Thx . Like the blog

    • david varadi permalink*
      September 21, 2012 1:02 am

      hi, thank you. just waiting for approval on the compliance side- tommorow morning probably.
      best
      david

Trackbacks

  1. Cluster Risk Parity « CSSA
  2. ETF Prophet | Cluster Risk Method
  3. An Elegant Measure of Diversification: The Cluster Gini Score (CGS) « CSSA
  4. 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

Follow

Get every new post delivered to your Inbox.

Join 519 other followers

%d bloggers like this: