The Quest to find 15 uncorrelated asset classes

Discussion in 'Risk Management' started by InTheMaking, Jan 26, 2018.

  1. rvince99

    rvince99

    Yes, very true! Correlations (positive) diminish in rising markets, as does volatility, and declining markets these things tend to pick up.
    It;s why you now see, as is typical for a bull market, sector selection and individual stock selection becomes important. It;s why things like real estate has selective markets, etc.
    But when something like 07, 08 comes along......everything goes.
     
    #51     Feb 4, 2018
  2. Sig

    Sig

    I found this article interesting regarding what happens in a 2008 style crisis. https://www.ft.com/content/1d6ec1a2-a77f-11e7-93c5-648314d2c72c Their assertion is that a company’s return on invested capital is a good measure of how uncorrelated they will be in a down market, which I think has some merit although I'd like to read a full study on it if anyone knows of one.
     
    #52     Feb 4, 2018
  3. rvince99

    rvince99

    Thank you for this. I would too.
     
    #53     Feb 4, 2018
  4. johnarb

    johnarb

    Uncorrelated asset? Perhaps bitcoin. If you want to skip to the section, it's on 22nd minute of the video.

     
    #54     Feb 26, 2018
  5. %% Even more of a puzzle;
    why gold?? RE isn't very liquid , but that is in its favor:D:D
     
    #55     Feb 27, 2018
  6. The reason real estate was not included is because Harry Brown only wanted liquid assets that could easily be rebalance through an almost instantaneous sale in the markets. These days an REIT ETF would work if you wanted to add this asset class.
     
    #56     Mar 16, 2018