First blood: Visualizing Correlations

To start things off, here is a post I wrote a week ago about a task I had working at CPPIB: Visualizing Correlations.

…correlations in finance are difficult to estimate. If you take all the historical data you can get your hands on, you might be missing out on some recent correlation drifts. If you take too little, you are subjected to estimation error. The problem went as follows: 5 assets, 5 different ways of calculating correlation (varying time horizons and weight structures), and 1 “target” correlation matrix; the objective is to quickly spot when live correlations deviate too much from the target.

Read the full post at

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