... structure of S&P 500 firms before and during the crisis. Findings The average correlation coefficient between S&P 500 firms rose during the crisis from 0.20 to 0.35, an increase of 75 percent. Although the results indicate that active and residual risks are significant across the firms...

..., and correlation metrics proposed in Adrian (2007). In addition, the paper examines whether correlations and covariance are important determinants of future volatility via traditional time‐series regressions. Findings The paper finds that the majority of the broad hedge fund investment strategies incurred...