Loss Coherence – Part II

Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises… In the previous post, I created a way to measure the tendency of two investments to lose...

Loss Coherence – Part I

What is Loss Coherence? Define the Loss Coherence Coefficient; Next post –  Explore Loss Coherence behavior and values. I’m not a fan of correlation. You can read that a couple of different ways. First, I’m not a fan of high correlations. Second,...