• Correlation Expectations  

    With the return of volatility this year, we’ve noticed that many people immediately put alternative funds under the microscope to determine if they lived up to expectations. I recently wrote an article for Investment Advisor’s May issue discussing how many quickly concluded—incorrectly I might add—that alternative funds failed.

  • When Correlations Rise  

    When Correlations Rise…

    February 07, 2018
    361 Team

    Given the recent market shock, especially to those active in “volatility” markets, we thought it would be an opportune time to quickly re-visit a concept we wrote about two months ago. In that post we examined an often-overlooked cause of volatility (low or high), correlation.


    The table below reflects an interesting analysis from JPMorgan’s head quant Marko Kolanovic. It shows how exposed different investor groups are to equities, relative to their own histories. Unfortunately, it’s not clear how far back this data goes, but there were a few comments that helped to define the time frame. For example, looking at U.S. Households, Mr. Kolanovic says that they are now in the 94th percentile in terms of total equity exposure (meaning that equity exposure has been lower 94% of the time), and that this is above the levels seen in 2007, and only slightly below those of 2000, so we know the data goes back at least to the tech bubble. In any event, the question this raises, is if all types of investors are near their maximum equity allocations, what does that mean for future demand for equities?