THE QUANT PRIMER 03 | WHAT ELSE IS IN YOUR POSITION
Correlation, common ownership, and the trade that isn’t yours alone
Correlation, common ownership, and the trade that isn’t yours alone
A correlation coefficient looks like a fact about two assets. It is closer to a fact about two portfolios.
An equity and a currency, a bond and a commodity, two stocks in unrelated sectors — a correlation matrix treats each pair as if the number described a relationship between the securi…
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