Welcome to Graham Capital

Shifts in market dynamics such as pair-wise market correlations can significantly impact portfolio diversification and risk concentration. Meaningful correlation changes occur not only during times of market stress, but also idiosyncratically. While the careful selection of markets can yield a diverse portfolio, risk must also be continually evaluated to ensure diversification objectives are met. As market dynamics shift, active portfolio construction techniques can help maintain a balanced portfolio that does not exhibit concentrations of risk. Here, we show the cross correlations of 55 of the most liquid markets traded by Graham's strategies, using a short-term lookback period, exponentially weighted.