There Was Nothing I Could Do – All the Correlations Had Suddenly Gone to One!

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True long-term correlations don’t change so much, but realized correlations over shorter periods can be all over the map. This is what risk is, so plan for it!

There Was Nothing I Could Do – All the Correlations Had Suddenly Gone to One!,” with M. Barton Waring, The Journal of Portfolio Management, Winter 2016.

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