CODEWITHSUNDEEP
pandashierarchical-clusteringminimizeportfolio
maeta cherdsatirakul
maeta cherdsatirakul

Reputation: 1

Is Riskfolio's HCPortfolio working right?

enter image description hereThis is a portion of my project where it yields the following graphic. I noticed how the correlation between EWH and MCHI (which is usually move in parallel to each other) is fairly low, hinting that something is wrong. (Working on 2019-2024 monthly data)

Also, I crossed-check the result with my Bloomberg terminal, which yield a fiarly high 0.8 beta.

import riskfolio as rp

# Plotting Assets Clusters

ax = rp.plot_clusters(returns=monthly_returns,
                       codependence='pearson',
                       linkage='ward',
                       k=None,
                      opt_k_method = 'twodiff',
                       max_k=10,
                       leaf_order=True,
                       dendrogram=True,
                       linecolor=None

I'm not sure if this is an issue around mislabeling the tickers to the chart, but I wouldn't like to think that the lib handles such task incorrectly. Therefore, I have not clue now.

I'm asking if there is anything I should check.

Thank you in advance :)

Upvotes: 0

Views: 24

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