Falling correlations signal better times for equity long/short hedge funds

same-direction
Long/short hedge funds struggle when stocks move in unison

Equity long/short hedge funds are benefiting from a drop in intra-stock correlation, which has held below its five-year average since mid-2012.

Correlation among S&P 500 stocks averaged 36% in the last six months of 2012 compared with a five-year average of around 43%, according to data provided by JP Morgan's asset management division.

The fall in intra-stock correlation is a positive sign for equity long/short strategies, which tend to struggle when individual stocks move in unison

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: