The ETF correlation matrix is the web's first 'live' correlation matrix that gives us the ability to understand the cross-correlations on various markets, sectors and asset classes. It is a 37x37 matrix that utilizes a two year daily return series and is thus based off 1 million plus unique data points.  A new addition is the Top and Bottom 25 paired correlations.  A high pairwise correlation is a high Sharpe ratio proposition, while a low pairwise correlation scenario is a high Alpha potential.  The availability of large-scale computing power and the web as the new platform for information dissemination enables us to put this on the web, something that until recently was the preserve of specialized knowledge providers. Now we are making available the ETF Variance-Covariance matrix, based on daily returns.  We think that a longer interval period (such as monthly) results in information loss, especially in todays fast paced trading environment.  Legacy issues probably constrain the generation of high frequency Var-Cov matrices, we hope to provide unique value added by operating outside such parameters. These correlations* can be utilized to structure an optimal asset allocation framework, prevent redundant diversification, structure market-neutral spread trades, and control risk in a  portfolio.                                    * Correlations are subject to the well-known phenomenon of inter-temporal non- stationarity and sign inversion.  As such they are best utilized as an indicative and explanatory factor, rather than a predictive factor. Other research on a sample of advanced finance and mathematical topics is also presented here, for the interested viewer.  The Bootstrapping routine allows for repeated sampling to estimate a normal distribution from a non- parametric or small-size sample - a fully functional downloadable file written in Excel VBA is attached.  Such methodologies are utilized in our work to generate distributions for ETF's that have short trading histories.  This is essential for fast paced hedge funds and traders who cannot afford to exclude an asset just because it is a new issue. These are the views of Advanced Portfolio Solutions and are not to be construed as investment advise of any sorts.  This work is purely for the purposes of research and understanding financial market dynamics.  contact Pankaj Agrrawal, Ph.D. for clarification on any technical aspects of this research. A link to some of the top search phrases used in search engines to locate this content.

ETF Correlation Matrix (global markets,sectors, bonds, gold) With Top and Bottom 25 Pairwise Correlations for efficient Hedging ETF Beta Matrix [New Item] Multi-market, multiple frequency (daily, weekly, monthly betas for S&P 500, MSCI-EAFE, Emerging Markets and Russell 3000 ETF's) - Based on Institutional Investor Journals published paper  (2007) ETF Variance-Covariance Matrix in double precision based off daily (as opposed to monthly) returns Sector Deviation Analysis (extreme divergence from mean path) - Sample output from proprietary program        Request  more Information on the matrices ----------------------------------------------------------------------- US and Japan  Bubble Dynamics Liquidity Driven Economic Cycle Annualizing Volatility & Beta Calculation  (Download File) Black Scholes Options PM (dynamic sheet) Compound Linking of Returns (Beta Multiples) - Puzzle? Bootstrapping a Non-Parametric distribution: Excel VBA application (with fixed/variable Seed option)