The Epsilon Theory Archive

“History doesn’t repeat itself, but it often rhymes.” Mark Twain said that, or Abraham Lincoln depending on what corner of the internet you find yourself on any given day. Likewise, there are common themes, topics and subjects that run throughout the Epsilon Theory archive. All of our writing is categorized, tagged and organized to be easily accessible, but beware: your search for truth on one matter may very well lead you down any number of rabbit holes (and we hope that it does).

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quant

Emerging market stocks have a higher than usual correlation to the overall basket of asset, as do Treasurys.  Read more »

quant

Correlation

Overall, we believe most asset classes have a lower long-term correlation than historical averages and has been relatively unchanged over the past several weeks.  Read more »

quant

Correlation

Consistent with the pull back in stocks, correlations decreased slightly as the macro theme of inflation and rates took a breather. Read more »

quant

Correlation

All markets seem to be reacting in concert to volatile interest rates. Read more »

quant

Correlations are increasing, indicating a strengthening macro theme. Read more »

quant

Correlations are rising and near long-term levels, suggesting that the reflationary macro theme is reasserting itself. Read more »

quant

Correlations among commodities and stocks declined as interest rates have risen sharply. Read more »

quant

Correlations remain largely unchanged this week, likely due to the decline in rates. Read more »

quant

Correlation among emerging market stocks and bonds has increased in recent months. Read more »

quant

Correlations among all asset classes are low and going lower.  Read more »

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