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

Correlations moved higher over the week, we think this is likely indicating strength of macro events such as increased rates and increased pressure on inflation. Read more »

quant

Correlation

Correlations are rising slightly, likely due to the impact of tax reform and the increase in rates. Read more »

quant

Correlation

Correlations continue to rise among most asset classes. Read more »

quant

Near-term and long-term correlations are converging but are still below historical averages. Read more »

quant

During the last week, bond correlations in shorter maturities increased. Read more »

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