Correlation matrix is a great feature to help build high quality families. Tech supports gets a lot of questions to the tune of “what makes a good family.”
The momentum model excels in creating low volatility, low correlation strategies with a diverse family. One thing the momentum model CANT do is create a non correlated strategy using a family of funds with high correlations. ie… a strategy using a family full of S&P clones is going to look like the S&P no matter how you trade it.
Step 1
The correlation matrix uses the tickers loaded on the spreadsheet. So, start by loading a family on the the spreadsheet.
Step 2
Click the correlation matrix button at the top center to launch the correlation matrix
Step 3
- Names of tickers uses to derive correlation of selected cell
- Statistics related to ticker
- Correlation between ticker in row and ticker in column
- Click links to highlight relevant cells. >95% highlights all cells with correlation greater than 95%, etc, etc.
- Displays the number of tickers in the matrix and if link from #4 is clicked, # highlighted displays number of cells highlighted
- Diplays the start and end dates of used to calculate correlation. Change the dates on the spread sheet to update the date on the correlation matrix