Since, as everyone says, “past performance is no guarantee of future results,” a history of close correlation between two assets, or between a single asset and a benchmark, is no guarantee of future correlation. The threat that a correlation upon which a particular investor has relied will cease to apply at some future date is, unsurprisingly, called the correlation risk. And the “bribe” an investor receives for taking on that risk is the correlation risk premium (CRP).
PAST PERFORMANCE GUARANTEES NO FUTURE RESULTS
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