Lessons learned from the high #correlation in 2011

Other than high volatility, high correlation in the stock market and across asset classes is another prominent scene of the investment landscape in 2011.

Since the 2008 financial crisis, investors had been heavily relying on the “risk on, risk off” strategy. And such strategy is said to be responsible for the high correlations in the market. Impacting the market together with fiscal crises in various countries, natural disasters and political insurgencies, uncertainties make it extremely hard for investors to diversify their portfolio, as well as for managers to add value.

Towards the end of 2011, however, some investors thought that this high-correlation era was coming to an end, especially in the stock market. Maybe it is because of a potential return of the fundamental equity selection style. Researchers from risk management leader, Axioma, also produced their analysis on this issue, and tried to answer the questions: “Why were correlations so high in August?” and “Why were correlations so low in January?”

Quant Invest Chicago 2012 conference will gather world-class industry experts to share their view on the high correlation of markets and how investors can adapt. In particular, Dr. Sebastián Ceria, CEO of Axioma and a conference advisory board member, will be the chairman to steer the discussion throughout the day on June 27.