Aug 25, 2010
| Last Updated
Whereas we previously focused on behavior of different asset classes in relation to the S&P 500 to assess so-called “market risk”, we now turn to a broader evaluation of market behavior including elevated volatilities and correlations. Our objective is to enhance return and mitigate risk by exploring:
- The correlation structure of asset classes with one another
- The correlation structure within each individual asset class
- The volatility and liquidity measures’ interactions with asset class performance
- Normalized returns of high and low correlation assets’ volatility[...]
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