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trixs · 03-16-2008, 09:50 AM

Taking a look - Look's like I have some bug finding.

Thank You

EDIT:

I went ahead and read that article and found where the discrepancy is coming into play. (btw, good article!) In the article they are using an aggregate correlation. First of all they start off with small cap blend and LCB. These two correlate together at about .75, which checks. Next they add other asset classes and get the aggregate correlation.

The correlation model that I used on the site is checking the total portfolio correlation vs the US Market - In this case the S&P 500. I will change this to clearly state what data source. Also, 50/50 LCB/Commodities correlates with the US market( S&P 500) at .60 . When comparing the two distinct data sequences, LCB and Commodities, they correlate together at -0.17.

My plan of action - Allow people to use decimal points!

03-16-2008, 09:50 AM	#5
trixs Recycles dryer sheets Join Date: Nov 2005 Posts: 108	Taking a look - Look's like I have some bug finding. Thank You EDIT: I went ahead and read that article and found where the discrepancy is coming into play. (btw, good article!) In the article they are using an aggregate correlation. First of all they start off with small cap blend and LCB. These two correlate together at about .75, which checks. Next they add other asset classes and get the aggregate correlation. The correlation model that I used on the site is checking the total portfolio correlation vs the US Market - In this case the S&P 500. I will change this to clearly state what data source. Also, 50/50 LCB/Commodities correlates with the US market( S&P 500) at .60 . When comparing the two distinct data sequences, LCB and Commodities, they correlate together at -0.17. My plan of action - Allow people to use decimal points! __________________ How to Invest Last edited by trixs; 03-16-2008 at 10:29 AM.