Sentences with phrase «correlation across asset classes»

As the Fed has been gradually normalizing monetary policy over the last few years, the correlation across asset classes has been in decline.

For example, the momentum portfolios exhibit positive correlation across asset classes, suggesting that strategies focused on momentum alone (a path followed by many managed futures funds) forgo the opportunity to significantly improve results through allocating to complementary strategies.

Correlations across asset classes have also been increasing.

Depressed volatility is also covering up falling correlations across asset classes.

Not exact matches

The growing interdependence can be seen in the increased correlation of market movements both across countries and across asset classes.

Our Multi-Asset Concentration index — a measure of correlations across 14 global asset classes — is hovering well below its post-crisis average, according to our Risk and Quantitative Analysis group.

The reason stocks are moving in lock - step with bonds right now is that low volatility across asset classes led to a huge uptick in «correlation.»

However the current environment is the first period over the last 20 years marked by the simultaneous occurrence of high correlation and low return dispersion across managers, asset classes, and sectors.