My juggling with those stocks is an attempt to do as near (well 80%) replication as possible by choosing the top ten sectors and the best correlated stock from each of those sectors, and yes I guess I am assuming a correlation of +1.
I did ponder about using the stock beta and bringing that into the equation, but my brain imploded at that point.
The formula is based upon Natenbergs $delta principle, and I think I'll have to go for at least 10 ESX lots.
I think anything like this is extremely tricky, but a bit of fun.
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