Hierarchical Risk Parity (HRP) Clustering Calculator

Construct a Hierarchical Risk Parity portfolio using hierarchical clustering of the correlation matrix. Allocates risk based on cluster structure, robust to estimation error in expected returns

Each component has a specific meaning:

• Hierarchical clustering of the correlation matrix — The hierarchical clustering of the correlation matrix recorded for the scenario being assessed.

Note: Interpret the hrp clustering result against the thresholds and context described above.

Enter the hierarchical clustering of the correlation matrix for the scenario you are assessing. Construct a Hierarchical Risk Parity portfolio using hierarchical clustering of the correlation matrix. Allocates risk based on cluster structure, robust to estimation error in expected returns. Use the hrp clustering result to inform your calculation.