I believe that high correlation actually occurs due to two reasons.the article makes it clear that the fall of lehmans was the trigger. complexity is reason 1, the fall of lehmans released excessive amounts of fallout throughout the world financial system. The effects of the fall were not intelligently calculated and had massive implications fuelling further crises, such as the euro sovereign one. Imo reason 2 is policy as stated before. The mismanagement of the crisis brought uncertainty as to what extent goverments and big institutions can solve their problems. That uncertainty is translated in high correlation with every new policy introduced which is not a heAlthy sign, imo, since markets seem to be dependent on new policy in order to work effectively. I believe that when ( if) the world economy stabilises that high correlation might weather down and in that new enviroment new opportunities may appear since some of the higly correlated instruments may be undervalued or overvalued. Again, we might be facing a structural reform where high correlation could probably endure for many years to come..
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