GS: Hedge Funds Profit From Falling Stock Correlations

Thanks to plummeting stock correlations, hedge funds performance has improved dramatically during the first few months of 2017, that’s the key takeaway from Goldman Sachs latest issue of the bank’s Hedge Fund Trend Monitor Report.

The report, a copy of which has been reviewed by ValueWalk, analyses the holdings of 813 hedge funds with $1.8 trillion of gross equity positions.

2016 Hedge Fund Letters

GS: Hedge Funds Profit From Falling Stock Correlations

The standout takeaway is that stock correlations have plummeted during the first few months of 2017, helping to lift idiosyncratic risk. According to Goldman’s research, the correlation between sectors has driven three-month S&P 500 realized average stock...