Correlation Pairs
Example Correlation Matrix (2003)
Example Correlation Matrix (2000)
Example Correlation Matrix (1999)
The following table details correlation coefficients among Trend Followers. These traders make and lose money at the same time in the same markets. What does that say about their trading styles?
| Trading Pair |
07/91-06/95 |
01/95-01/98 |
|
|
|
| Abraham Trading / Campbell |
0.65 |
0.73 |
| Abraham Trading / Chesapeake |
0.71 |
0.83 |
| Abraham Trading / Eckhardt |
0.65 |
0.74 |
| Abraham Trading / Rabar |
0.68 |
0.77 |
| Abraham Trading / Saxon |
0.52 |
0.74 |
| Rabar / Saxon |
0.58 |
0.66 |
| Rabar / JPD |
0.94 |
0.94 |
| Rabar / Hawksbill |
0.75 |
0.70 |
| Rabar / Eckhardt |
0.76 |
0.76 |
| Rabar / Chesapeake |
0.72 |
0.70 |
| Chesapeake / Eckhardt |
0.61 |
0.74 |
| Chesapeake / Hawksbill |
0.62 |
0.66 |
| Chesapeake / JPD |
0.71 |
0.79 |
| Chesapeake / Campbell |
0.65 |
0.67 |
| Chesapeake / John W. Henry |
0.71 |
0.62 |
| Mark Walsh / Chesapeake |
0.54 |
0.80 |
| Mark Walsh / Eckhardt |
0.73 |
0.80 |
| Mark Walsh / Saxon |
0.44 |
0.74 |
| Mark Walsh / Hawksbill |
0.62 |
0.75 |
| Mark Walsh / MC Futures |
0.67 |
0.66 |
| Eckhardt / Hawksbill |
0.75 |
0.64 |
| Eckhardt / Saxon |
0.29 |
0.71 |
| Saxon / Hawksbill |
0.41 |
0.68 |
| JPD / MC Futures |
0.72 |
0.62 |
| JPD / Eckhardt |
0.70 |
0.79 |
| JPD / Saxon |
0.62 |
0.72 |
| Millburn Ridgefield / Chesapeake |
0.61 |
0.65 |
| Millburn Ridgefield / Campbell |
0.75 |
0.76 |
| Millburn Ridgefield / Dunn Capital |
0.76 |
0.71 |
| Dunn / Chesapeake |
0.62 |
0.62 |
Correlation coefficients gauge how closely an advisor's performance resembles another advisor. Values exceeding 0.66 may be viewed as having significant positive performance correlation. And consequently, values exceeding -0.66 may be viewed as having significant negative performance correlation.
