Correlation Analysis

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Correlations

Is your portfolio really diversified? Check StyleADVISOR’s Correlation Matrix to see how different managers are correlated to each other, or to a set of indices.

How has the correlation of the managers to the benchmark changed over time? The graph below shows the correlation of the managers to the benchmark (in this case the S&P 500) for rolling 20 quarter periods.

Does your portfolio contain multiple managers from within the same style? This allows you to diversify across manager skill. To achieve effective diversification, the excess returns of these managers over the benchmark should be low. StyleADVISOR’s Correlation Matrix also allows you to display Excess Returns, as seen below.

Correlation Matrix: Excess Return Vs S&P 500 Index