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Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Handling risk-on/risk-off dynamics with correlation regimes and correlation networks
Authors: Papenbrock, Jochen
Schwendner, Peter
DOI: 10.1007/s11408-015-0248-2
Published in: Financial Markets and Portfolio Management
Volume(Issue): 29
Issue: 2
Page(s): 125
Pages to: 147
Issue Date: 2015
Publisher / Ed. Institution: Springer
ISSN: 1934-4554
Language: English
Subjects: Asset management; Correlation; FinTech; Managed future
Subject (DDC): 332: Financial economics
Abstract: In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were previously; cluster tracking shows that asset classes are now less separated. We identify distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing, we quantify these observations using suitable metrics for the clusters and correlation networks. The framework will be useful for financial risk management, portfolio construction, and asset allocation.
Further description: Erworben im Rahmen der Schweizer Nationallizenzen (
Fulltext version: Published version
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Institute of Wealth & Asset Management (IWA)
Appears in collections:Publikationen School of Management and Law

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