DARWIN portfolio correlation engine goes live

Earlier this week Darwinex announced a set of major changes to its investment platform, and these are gradually being implemented.

The company has just announced that its DARWIN portfolio correlation engine is now in production.

As a a result, DARWIN Portfolio equity at risk is no longer the simple sum of individual DARWIN equity at risk (which would imply 100% correlation). Instead, DARWIN Portfolio equity at risk accounts for diversification by analysing the correlation between DARWINs in a portfolio – e.g. the sum is less than the parts.

Also, correlations are available at all times.

To explore the correlation structure of their portfolio, traders need to click on the Equity at Risk tab (with the eye icon). Correlation ranges are colour-coded:

  • Green (high diversification / low overlap) – correlations of 0.2 or lower (including negative ones);
  • Orange (medium diversification / overlap) – correlations higher than 20% (0.2) but lower than 50% (0.5);
  • Red (significant overlap) – correlations higher than 70% (0.7).


To view the official announcement by Darwinex, click here.

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