- "Equity correlation is close or higher than its high levels scaled during the credit crisis. This has profound implications even for non-derivatives investors in that it indicates that stock-picking skills are less useful in the current environment."
- "While much of the variation in equity correlation is driven by equity volatility, from a long term perspective it appears to have had a secular increase in value."
- "Since 2005, equity correlation has had a close relationship with the increased ETF volumes relative to the volumes in the underlying stocks."
- "Option implied correlation, which has traditionally traded at a premium to realized, is currently trading at a discount which would indicate that the option market is loathe to believe that the current high correlation is likely to persist. However, the fact that long dated implied correlation is also equally high and almost equal to its short dated version appears to provide a conflicting signal."
Barclays Index Volatility Weekly 20100726
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