Hedge Fund-Stock Market Correlation Peaks

Nov 8 2011 | 10:21am ET

Are hedge funds not worthy of the name? One study suggests they might not be.

Hedge funds' correlation with equities hit an all-time high in September, according to Bank of America Merrill Lynch. The increased correlation with the Standard & Poor's 500 Index began in March 2009. In September, the 12-month correlation was as high as ever, the Financial Times reports.

That correlation would actually be a pretty good thing this year, with the Standard & Poor's 500 Index at break-even through last month. But where hedge funds have been uncorrelated, it has hurt them: Many hedge funds were long in August, when stocks began their precipitous decline, but had cut their risk before last month's rally. Most indices show that hedge funds participated in only a fraction of October's stock market gains.


In Depth

Bob Doll's Ten Market Predictions For 2016

Jan 7 2016 | 9:37pm ET

Well-known market strategist Robert Doll has published his annual list of ten predictions...

Lifestyle

Citadel's Ken Griffin Donates $40M To New York's Museum of Modern Art

Dec 22 2015 | 9:23pm ET

Citadel founder Ken Griffin has donated $40 million to New York’s Museum of Modern...

Guest Contributor

Hedge Fund Marketing - Making the Most of Your Salesperson

Jan 20 2016 | 8:11pm ET

In this contributed article, Bruce Frumerman of Frumerman & Nemeth takes a close...