Welcome to Graham Capital

Details

 
The correlation heat maps show the cross correlations of 55 of the most liquid markets traded by Graham’s strategies, using a short-term lookback period, exponentially weighted. Shifts in pair-wise market correlations can significantly impact portfolio diversification and risk concentration. 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.

Related Content

Details

 
Performance of directional strategies such as macro and trend-following often depends on the existence of sustained directional moves in markets. Graham developed the “Directional Indicator” as a means of measuring the strength of market directionality. This metric quantifies the change in the price of an asset over a time period with the degree of daily price variability for a given market universe. When the Directional Indicator is high, there are strong directional trends, providing potential profit opportunities. These opportunities may exist both in times of market duress and during relatively complacent market environments. Methodology Notes

Related Content




Pairwise Correlations as of

Historical Levels

 -1
Markets
Selected
Avg







Directional Indicator as of

Historical Levels

 Low High 
Sectors
Selected
Avg
Equity

Bond

Commodity

Currency

Aggregate

This tool is intended purely for informational purposes. Graham’s investment programs may perform in ways that are not related to the information provided here.