Decreasing correlations have a positive effect on portfolio risk. When market correlations shift in magnitude or reverse, it can be tricky to understand how changing risk levels relate to a portfolio
Hedge funds should market themselves as having both alpha-generating potential as well as a better risk profile than equities or bonds while being uncorrelated to both
The DGAM Unique Strategies, named best specialist fund of hedge funds over three years at the Americas Awards 2013, seeks real diversification in complex and unusual hedge fund strategies
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Correlation articles
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option...
A ‘required return’ framework is a useful tool for managing diversified hedge fund portfolios
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the...
Analysis from JP Morgan shows strong relationship between intra-stock correlation and equity long/short hedge fund returns
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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