Posted By: DdlV
Z8, Z9 - History Length vs. Correlation - 09/03/22 23:36
Continuing Education! I'll ask this question in terms of Z8 & Z9 where it applies, but presumably it also applies in other contexts.
For Assets Correlation, the desire is to have more "blue" = less Correlation.
Suppose a group of Assets A which is more "blue", less Correlated, than a different group of Assets B.
However, there is more History available for Assets B.
Does one prefer B due to the longer History and presumably therefore more reliable "blue"ness?
Or does A win since the Assets are less correlated?
Or should one restrict the B History to A's length to compare apples to apples?
Or is there some Rule of Thumb for trading off History Length vs. Correlation?
Thanks.
For Assets Correlation, the desire is to have more "blue" = less Correlation.
Suppose a group of Assets A which is more "blue", less Correlated, than a different group of Assets B.
However, there is more History available for Assets B.
Does one prefer B due to the longer History and presumably therefore more reliable "blue"ness?
Or does A win since the Assets are less correlated?
Or should one restrict the B History to A's length to compare apples to apples?
Or is there some Rule of Thumb for trading off History Length vs. Correlation?
Thanks.