Minimum Correlation Spreadsheet Now Available
This spreadsheet shows the implementation of the Minimum Correlation Algorithm (mincorr). The power function is a new parameter that regulates the weighting in the averaging process toward the most anti-correlated assets. Currently the default is “1″ which is essentially a rank-weighted moving average of pair-wise correlations. A value of “0″ would imply equal weightings, values lower than 1 would imply a balance between equal and rank weighting, while values higher than 1 would more heavily skew the rank-weighting. More spreadsheets and research will be available soon.