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Quantitative Finance · Glossário

O que é Strategy correlation?

Definition 28.2 Strategies I: Equities and Futures · Capítulo 28 — Running a Multi-Strategy Book

Strategy correlation is the correlation between the P&L streams of two strategies; measured over normal periods it can be low while the strategies share an exposure that dominates in stress, so a firm estimates it both from P&L and from the positions’ factor exposures.

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