The major unwind last week was the first step. This was a major correlation warning signhttps://twitter.com/yolo58849655/status/1355439189177712641 …
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... realized vol of the market factor increases (ie risk aversion goes up) then stocks will be more correlated, because this is the one return driver that they are all positively exposed to. This happens most often in selloffs, so selloffs coincide with jumps in
realized correlation, without any need to specify a causal relationship.
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Who mentioned anything about causation? Besides you miss the point. Correlation is a TRADE , not a narrative
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Your claim is that realized correlation is low, therefore it will revert, and the market will drop as a result right? ie low realized correlation is a signal for a pullback?
End of conversation
New conversation -
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He does not just use statistical relationships he does qual work
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