The Experience of Uncorrelated Assets

  • 10 Jan 2011
  • By Newedge

Much has been written about the low correlation between managed futures strategies and the S&P 500. However, over certain periods the correlation between the two can be quite high. In our research note Superstars versus Teamwork, we showed the distribution of estimated pairwise correlations is broad and symmetrical when the true correlation is low (i.e. large sampling error).

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