Data&Code I was recently inspired by this paper by Carlton J. Chin, CFA. He and his colleagues wanted to test the relationship between different assets using correlation. But more specifically how correlation differs between different time intervals. That is correlation will change wildly when using daily, weekly, monthly and annual returns. As he highlights, this is an important question to answer because so much of asset allocation has to do with not only expected returns and volatility, but correlation.
The Wild Nature of Correlations
The Wild Nature of Correlations
The Wild Nature of Correlations
Data&Code I was recently inspired by this paper by Carlton J. Chin, CFA. He and his colleagues wanted to test the relationship between different assets using correlation. But more specifically how correlation differs between different time intervals. That is correlation will change wildly when using daily, weekly, monthly and annual returns. As he highlights, this is an important question to answer because so much of asset allocation has to do with not only expected returns and volatility, but correlation.