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VOL06: Finding True Value in the World of Volatility ft. Benn Eifert

Top Traders Unplugged

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The Importance of Long Correlation in a Crisis

2008 long correlation was thought to be a tail hedge and to see it not work so well in 2020 at certain times must have been a shock to many people yeah. A market neutral dispersion trade was monstrous so short correlation was monstrously profitable in 2008 because you had again massive sector rotation. There's also a point-to-point versus end-to-end thing right so dispersion if you're delta hedging every day is going to capture that quickly.

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