Correlation

Minimum Correlation (t.coco) creates a correlation matrix that calculates the correlation of the assets in a set of 8 asset class ETFs (EFA, EEM, GLD, TLT, SPY, QQQ, IYR, IWM). The lookback period for calculating the correlation is 100 trading days. The algorithm then solves to find the combination of assets that gives the weighted portfolio the lowest overall correlation.