Illustrative: two sleeves at 20% volatility, held half and half
Correlation 1.00
20.00%
Correlation 0.30
16.12%
Correlation 0.00
14.14%
Correlation -0.50
10.00%
Blended volatility
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Fin Maverick
.
Measuring Risk in a Portfolio
Two uncorrelated assets?
Guess how much risk falls.
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