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Correlation Surprise

By David Turkington, State Street Associates, William Kinlaw

Apr 1, 2019

By William Kinlaw and David Turkington Published in the Journal of Asset Management, January 2014 We extend Kritzman and Li’s study by disentangling the volatility and correlation components of turbulence to derive a measure of correlation surprise. On average, after controlling for volatility, we find that periods characterized by correlation surprise lead to higher risk and lower returns to risk premia than periods characterized by typical correlations.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.