Asset Correlations in Portfolio Optimizer Results

Dmitry ShevchenkoJuly 31, 24 | Posted in Announcements

Hey all,

I have another update to share: our portfolio optimizer results now include an asset correlation table with portfolio positions and your selected benchmark. This new addition means you no longer need to switch between different screens while optimizing your portfolio.

The correlation table allows you to quickly identify strongly correlated positions within the selected timeframe, helping you construct a more balanced and diversified portfolio. By having this information readily available, you can make more informed decisions about your portfolio faster.

We’re always looking to improve, so if you have any suggestions for other enhancements, please let us know in the comments!

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J_ G_August 22, 24

Hi Dmitry,

I can't duplicate the correlation scores from the portfolio optimizer in Excel.

Does Excel just do it "differently"?

Or is it something else... Like not using the same price data.

For example using daily prices from CoinGecko for the past year... bitcoin and solana have > .9+ correlation (using =correl to compare the two sets of prices).

The portfolio optimizer shows 0.68 for sol-usd with btc-usd as the benchmark.

Dmitry Shevchenko

last yr.

They might be using a different method for correlation calculation. I'm not very familiar with Excel, so it's hard to say for sure. We use the Spearman correlation because it is less sensitive to outliers and is generally considered more suitable for financial data, which in many cases is not normally distributed. If they use any other method (like Pearson), that might explain the difference.

J_ G_August 23, 24

Yes, looking online it seems that Excel does use Pearson method for correlation not Spearman. Thank you for the (quick) reply.

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Asset Correlations in Portfolio Optimizer Results

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