Analysis of the correlation structure between futures markets, S&P 500 stocks and trend-following strategies over the past 50 years.
We put the recent fall in US equity volatility into context.
October has been the most volatile month for stocks on average over the past 87 years. Is this due to chance?
Does globalisation mean that stock returns are related more to sector than country performance?
Market shocks may feel like they are becoming more common, but the data suggests otherwise.
Equities and bonds are often assumed to be negatively correlated. This hasn’t always been true.
Winton's in-depth research shows that funds exhibiting the characteristics typically associated with hedge funds manage far less than $3 trillion.
We examine an ecology-inspired alternative to the efficient market hypothesis and find that it better captures properties of real-world financial markets.
Our analysis shows that the market's opinion of economic data releases changes through time.