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ABCDEFGHIJKLMNOPQRSTUVWXYZ
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Level3Level2Level1
Instrument level
Level3Level2Level1Weights
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BOBLGermanyDevelopedBondBOBL0.50.50.50.28616599970.03577074997
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BUNDGermanyDevelopedBondBUND0.50.50.50.28616599970.03577074997
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CORNGrainsAgsCommodityCORN110.50.42766800050.2138340003
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CRUDE_WOilEnergyCommodityCRUDE_W10.50.50.42766800050.1069170001
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EDOLLARUSDevelopedRateEDOLLAR1110.28616599970.2861659997
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GAS_USGasEnergyCommodityGAS_US10.50.50.42766800050.1069170001
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KR10KoreaEmergingBondKR100.510.50.28616599970.07154149994
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KR3KoreaEmergingBondKR30.510.50.28616599970.07154149994
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US10USDevelopedBondUS100.50.50.50.28616599970.03577074997
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US20USDevelopedBondUS200.50.50.50.28616599970.03577074997
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Level 1 correlation matrix
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BOBLBUNDUS10US20KR3KR10EDOLLARCORNCRUDE_WGAS_US
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BOBL0.91230369150.63084355740.6258945510.2805819020.36025947340.5874927838-0.08608415823-0.1191219614-0.05558683929
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BUND0.91230369150.75876456640.7879430170.3553641850.46123676020.7060656274-0.152042692-0.1658130255-0.06731088947
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US100.63084355740.75876456640.92402289750.41595021480.53995862480.9740970915-0.1117086973-0.2567707731-0.05375520125
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US200.6258945510.7879430170.92402289750.40211670040.5401980850.872358735-0.1247759135-0.2605295875-0.1049585706
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KR30.2805819020.3553641850.41595021480.40211670040.85266744790.3829664485-0.1637927789-0.05329224457-0.0380027699
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KR100.36025947340.46123676020.53995862480.5401980850.85266744790.5123328498-0.1568581113-0.0966559888-0.07906238002
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EDOLLAR0.58749278380.70606562740.97409709150.8723587350.38296644850.5123328498-0.08788338677-0.2408600511-0.05165446809
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CORN-0.08608415823-0.152042692-0.1117086973-0.1247759135-0.1637927789-0.1568581113-0.087883386770.06637433395-0.04918474461
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CRUDE_W-0.1191219614-0.1658130255-0.2567707731-0.2605295875-0.05329224457-0.0966559888-0.24086005110.066374333950.2180837217
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GAS_US-0.05558683929-0.06731088947-0.05375520125-0.1049585706-0.0380027699-0.07906238002-0.05165446809-0.049184744610.2180837217
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Approximation of group correlations
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BondsRatesCommodity
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Bonds10.672552256-0.1192290324
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Rates0.6725522561-0.126799302
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Commodity-0.1192290324-0.1267993021
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Candidate one
Candidate two
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BondsRatesCommodityWeightsBondsRatesCommodityWeights
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Bonds10.900.27Bonds10.500.3
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Rates0.9100.27Rates0.5100.3
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Commodity010.46Commodity010.4
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Distance calculation
Distance calculation
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00.051732476240.0142155621600.029774281060.01421556216
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0.0517324762400.016078062980.0297742810600.01607806298
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0.014215562160.0160780629800.014215562160.016078062980
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0.40503358230.3466061344
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Distance
Inverse distance
As norm weight
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Candidate one
0.40503358232.4689310810.4611333418
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Candidate two
0.34660613442.8851191620.5388666582
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WeightsNormalise
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Bonds0.28616599970.2861659997
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Rates0.28616599970.2861659997
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Commodity0.42766800050.4276680005
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