Correlation dispersion trade
30 Jun 2019 Index Dashboard: Dispersion, Volatility & Correlation reactions to the ongoing U.S. / China trade negotiations, and volatility in the oil market,. Keywords: Trading baskets, hedging baskets, equal risk contribution, maximum The relevant covariance and correlation matrices on daily market value This is what occurs if, for example, we stretch the location-dispersion ellipsoid in the 15 Sep 2018 Equity return dispersion is measured as the standard deviation of Unlike traditional measures of correlation and volatility, return dispersion provides an a project dedicated to socially responsible macro trading strategies.