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CORRELATION MATRIX:
The table below shows the average correlation of all TAA strategies we track and the S&P500, between 1995 and today. Correlation measures how closely strategies move together. Generally speaking, when combining strategies lower correlation is desired (closer to 0), as it means that when one strategy zigs, the other zags; resulting in smoother performance. Correlations ranging between 1 and 0.65, or -1 and -0.65 are highly correlated, while correlations between -0.35 and 0.35 are lightly correlated.
The colors green, red and grey are used to identify how strongly the strategies correlate to one another. The darker the green, the closer to 0 the correlation is. The darker the red, the close to 1 the correlation is. The closer to grey the color, the closer to 0.5 the correlation is.
Keep in mind that correlations change over time. We have provided the table below to allow investors to get an idea of how the various strategies have historically correlated with one another, since 1995. These correlations are always changing, so it is important to only use them as a guide and not an absolute reality.