Calculates the angular distance between a matrix of the track records of various assets/strategies. The sign of the correlation can be ignored for long/short portfolios.
AngularDistance(returns_matrix, long_short = FALSE)
a matrix containing the track records of the underlying assets/strategies.
a boolean value which results in the sign of the correlation being ignored, default value is FALSE
A matrix containing the angular distance values.
Tasos Grivas <firstname.lastname@example.org>
Lopez de Prado, Marcos, Codependence (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994
## calling AngularDistance() without an argument loads the historical edhec data ## for the "Short Selling" and "Convertible Arbitrage" strategies returns_matrix = PerformanceAnalytics::edhec[,c("Short Selling","Convertible Arbitrage")] angular_distance = AngularDistance(returns_matrix, long_short=FALSE)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.