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21 Jul, 2024
Collapse in correlation does not stop the urge to disperse
2 mins read

Collapse in correlation does not stop the urge to disperse















































Collapse in correlation did not stop the urge to disperse – Risk.net





Collapse in correlation does not stop the urge to disperse

New analysis suggests hugely popular relative value strategy could have bigger growth potential


Dispersion success

High entry levels have not dampened investor enthusiasm for spread strategies that rely on individual stock price movements exceeding index volatility.

“We saw more dispersion in the last week than we did in the previous month,” said Steve Nawrocki, head of Americas equities trading at BNP Paribas.

Equity dispersion has become the preferred form of volatility trading among hedge funds and asset managers, with exposure increasing five-fold over the past four years to a notional vega of up to

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