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What is Intra-Asset Class Correlation Trends about?

1) Since the eurozone crisis, markets have experienced alternating periods of rallies and sell-offs reflecting increased concentration of risk between and within asset classes. Intra-equity correlations within indices like the S&P 500 have trended upward and remained high. 2) Higher correlations reduce diversification benefits for long-only investors and also impact arbitrage strategies like equity market neutral that aim to hedge out market risk. 3) During periods of high and volatile intra-equity correl

Author

greghm

Language

EN