Are Elevated Correlation the New Normal? By Sam Stovall S&P Equity Research
Sectors within the S&P 500 have exhibited a similar trend. Summary Points The correlations of many assets with domestic stocks have increased during the past 30 years. The availability of mutual funds and Exchange Traded Funds has contributed to this trend. Correlations of the S&P 500 with all 10 of its component sectors are at or near their highest points in 20 years. Over the past 30 years, the variability …
Analysis-Absolute Return no refugee in stressed markets. By Natsuko Waki
LONDON (Reuters) – Investors who bought into “absolute return” funds hoping to make money in relentlessly turbulent trading are instead finding their capital eroded in markets that are making a habit of sudden mass flight from risk. High correlation among different asset classes and shrinking liquidity are making life difficult for the $180 billion (114.8 billion pound)-plus absolute return funds industry, which unlike hedge funds has limited means to ride …