Stumbled across an actual -1.00 correlation and decided to share the oddity. Working a simple screen using the Core Value and Core Growth Ranking Systems as the inputs and then discarding the first few Rank Positions ordered by the Core Momentum Ranking System.
Statistics
Total Annualized Max Risk Statistics (MONTHLY Period)
Return Return Drawdown Sharpe Sortino StdDev CorrelBench R-Squared Beta Alpha
Screen 21.39% 119.61% -4.85% 2.71 3.83 31.65% -1.00 1.00 -1.12 258.76%
Russell 2000 (IWM:USA) 5.59% 24.68% -5.98% 1.55 2.19 28.27% - - - -
Average 11.00 9% 1.42% 0.41% 1.00%
Up Markets 10 11.00 8% 1.14% 1.39% -0.25%
Down Markets 4 11.00 11% 2.13% -2.02% 4.15%
Cheers,
Rich