As requested in a comment, here is the correlation matrix of critical ETFs used in nearly all the ITA portfolios. I cut the time frame to 23 months of data so VSS and VNQI did not show up with “short-term” data errors. Identical percentages were assigned to each ETF with exception of SDS. The percentages you see are rounded values.
Correlation Matrix: The following data is from the QPP software, familiar to many Platinum investors. I prefer this table to the Hoadley as it shows how the assets are correlated when placed in a portfolio. Since the percentages are equal, the Portfolio column does not show off its strength vs. when the portfolio contains wide variations in percentages allocated to the different ETFs.
From this table we could eliminate VSS and possibly BWX. I would want to test BWX using a 5-year period before I discard it for high correlation reasons. I think TLT’s recent behavior is a bit of an outlier. SDS should show up with a blue background, but the software continues to miss high negative correlated securities.
Comments and questions are welcome.
