equivocal empirical evidence reported by several authors about the correlation of performance measures with the Sharpe ratio … will fail. The paper shows that for large sample sizes the correlation between pairs of performance measures that are … functions of the Sharpe ratio is unity. The correct null hypothesis for tests of correlation is therefore ρ=1. Two multivariate …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying correlation … correlation-based strategies emphatically outperform the equally-weighted benchmark. This finding is strongest for short horizon … correlation forecasts and attributed to dynamic correlation as opposed to variance forecasts. Thus, estimation error is not found …

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

as t-statistics, and instead evaluate models using the correlation between their out-of-sample predictions of the future …