16.2
Mixed-Asset Diversification
PYTHON PLUGIN
Real Estate
Portfolio
Description
Strategy 16.2: Add REITs when correlation with equities drops below threshold
Strategy Logic
Strategy 16.2: Include real estate (REITs) in a traditional portfolio.
Real estate exhibits low correlation with stocks and bonds, especially
at longer horizons. Signal: BUY real-estate ETFs/REITs when their
rolling correlation with the equity index drops below a threshold.
Uses a simple mean-variance-inspired allocation signal.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| correlation_lookback | 126 | int |
| correlation_threshold | 0.5 | float |
| equity_benchmark_sym | SPY | str |
| rebalance_days | 21 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 20.0% |
| Stop Loss Pct | 8.0% |
| Take Profit Pct | 15.0% |
| Max Drawdown Pct | 15.0% |