NO DooDahs

Defining Alternative Asset Classes

Would be nice to have the interval and timeframe of the correlation calculation shown. Without it, correlation coefficients are meaningless.

Ex; it could be a correlation of 60-minute bars (interval) over the last 22 trading days (timeframe) [yes, a facetious example], it could be daily over the last year, daily over the last two years, etc.

There's nothing to say that what was correlated over the last 22 trading days, year, or two years, has any correlation over the last 10, 15, or 20 years.

If we're talking in general terms about blending non-correlated strategies, it helps to define our terms and get our timeframes of correlation measurement in line with the timeframes over which we execute the strategy ...