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New Ranking for Portfolio Master

2 replies

11 months ago #291412

Hi, is it possible to add a ‘Least Correlated’ by <option> to ‘Rank Portfolios by’ in Portfolio Master?

Currently I may have 100 strategies, and want to create a portfolio of 20 selected strategies.

If we could rank by least correlated, then we can select and rank for the least correlated strategies, rather than having to manually check correlation every time we think we have a decent portfolio.

It would be easier knowing the portfolios are already low correlation, then select for say RET/DD or max DD manually.

Thanks,

James

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11 months ago #291540

James, we already have the correlation check available in the portfolio master module. See the image attached

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3 months ago #293965

But how to order portfolios by type of correlation as databank column?

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