A change of regime?

A change of regime?

An analysis of volatility and correlation over the last one hundred years points to important regime changes. That warns against the blind use of historical covariance matrices when defining optimal asset allocations. Despite more range-bound behaviour in recent decades, cyclicality remains a feature (at least for volatility).

Read our in-depth assessment.

Investment risks

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Important Information

  • Data as at 23.10.2020, unless otherwise stated. This document is marketing material and is not intended as a recommendation to invest in any particular asset class, security or strategy. Regulatory requirements that require impartiality of investment/investment strategy recommendations are therefore not applicable nor are any prohibitions to trade before publication. The information provided is for illustrative purposes only, it should not be relied upon as recommendations to buy or sell securities.

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