Maximum decorrelation portfolio (Excel)

Maximum decorrelation portfolio is a very simple and intuitive portfolio optimisation technique that allows to create well-diversified asset allocations. Today we are discussing the mathematics and the assumptions behind it and implementing the maximum decorrelation portfolio in Excel.
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[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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[@dmitriyrayder8763]

You are the BEST ))

[@jb_makesgames2264]

Good video- very interesting and relatively easy to implement.

[@aksingh11]

😊 love the corr matrix. Will
Have to read the decorrelation matrix

[@pedrocolangelo5844]

Such a great video, thank you so much! I have a little question: in the synthetic correlation, why do we need to multiply the resultant of the multiplication of the weight row and the correlation matrix by the transposed of the weight row? I mean, I understand that, doing that, we can arrive in a single "index", since the multiplication of a 1x5 vector by a 5x5 matrix gives us a 1x5 vector, and the multiplication of this 1x5 vector by a 5x1 vector gives us a 1x1 scalar (which is the synthetic correlation). But what I am missing is kind of the "practical intuition" behind it.
I hope I exposed my question clearly. Thank you so much again!

[@yulinliu850]

👍

[@salardelavarqashqai]

Hi. How can we have a portfolio optimaztion with mixing technical data (risk and return) and Fundamental datas (ROE,ROI,EPS) in excel. i'd be glad if you have an example about that

[@NEDLeducation]

Hi Salar, and thanks for the excellent question! Ultimately, the "technical data" for portfolio theory is just an input to produce optimal allocations through some model. Where fundamental data shines is in revisions of your expected returns. You could estimate fair values of stocks through, say, relative valuation with multiples, and use the mispricing observed to adjust a CAPM-expected return upward or downward in case the stock is under- or overvalued as per the model. This is a very natural and intuitive connection between portfolio and investment management and I think I will record a video on that at some point in more distant future.

[@salardelavarqashqai]

@@NEDLeducation thanks