{
 "@context": "https://schema.org",
 "@type": "DefinedTerm",
 "@id": "https://wulfkaal.github.io/entities/correlation",
 "identifier": "kaal:entity:correlation",
 "name": "Correlation",
 "termCode": "correlation",
 "inDefinedTermSet": {
  "@id": "https://wulfkaal.github.io/entities/index.json"
 },
 "author": {
  "@type": "Person",
  "name": "Wulf A. Kaal",
  "identifier": "https://orcid.org/0000-0003-0757-275X"
 },
 "dateModified": "2026-07-29",
 "canonicalForm": "https://wulfkaal.github.io/entities/correlation.md",
 "sha256": "fe6b51e3373a64298fd3eb5aab480ee31ed55228815838e7bfc07521c9227c7f",
 "additionalProperty": [
  {
   "@type": "PropertyValue",
   "name": "status",
   "value": "derived"
  },
  {
   "@type": "PropertyValue",
   "name": "claim_count",
   "value": 3
  },
  {
   "@type": "PropertyValue",
   "name": "work_count",
   "value": 2
  },
  {
   "@type": "PropertyValue",
   "name": "year_span",
   "value": [
    "2016",
    "2017"
   ]
  },
  {
   "@type": "PropertyValue",
   "name": "non_current_claims",
   "value": 0
  }
 ],
 "subjectOf": [
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2748096-023",
   "identifier": "kaal:claim:2748096-023",
   "text": "Strategy diversification does not insulate the hedge fund industry from systemic risk: returns across different hedge fund strategies were more correlated during the financial crisis of 2007-2008 than before it, so the industry can pose systemic risk despite investing across a broad spectrum of assets and strategies.",
   "abstract": "hedge fund returns should not affect their systemic risk. However, evidence exists that the returns of different hedge fund strategies were more correlated during the financial crisis of 2007-2008 than before the crisis",
   "citation": "Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096",
   "datePublished": "2016",
   "claim_type": "failure",
   "confidence": "evidenced",
   "is_failure_mode": true,
   "scope_conditions": [
    "periods of market stress",
    "evidence drawn from the 2007-2008 crisis"
   ],
   "source_pdf_sha256": "8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508",
   "status": "current"
  },
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2748096-024",
   "identifier": "kaal:claim:2748096-024",
   "text": "Hedge fund contagion is defined as correlation over and above what one would expect from economic fundamentals, and clusters of suboptimal returns across investment styles count as contagion precisely because known risk factors for hedge fund performance cannot explain them.",
   "abstract": "Because risk factors associated with hedge fund performance cannot explain such clusters, they can reflect contagion (Boyson et. al. 2010).",
   "citation": "Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096",
   "datePublished": "2016",
   "claim_type": "definitional",
   "confidence": "evidenced",
   "is_failure_mode": false,
   "scope_conditions": [
    "definition adopted from Bekaert, Harvey, and Ng (2005)"
   ],
   "source_pdf_sha256": "8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508",
   "status": "current"
  },
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2998033-024",
   "identifier": "kaal:claim:2998033-024",
   "text": "Even though crypto investments can be as volatile as or more volatile than traditional investments, digital currencies may still serve as a hedge against traditional investments because they are not tied to equity market movements.",
   "abstract": "Although crypto investments can to be just as and more volatile than traditional investments, digital currencies might be used to hedge against traditional investments.",
   "citation": "Wulf A. Kaal, Blockchain Innovation for Private Investment Funds (2017). SSRN: https://ssrn.com/abstract=2998033",
   "datePublished": "2017",
   "claim_type": "mechanism",
   "confidence": "argued",
   "is_failure_mode": false,
   "scope_conditions": [
    "holds to the extent crypto returns are uncorrelated with traditional stock and equity markets"
   ],
   "source_pdf_sha256": "aafb1be3c25cd33da477d759df9ca2f856f0a8fe133d6396da2e75d0af573dbd",
   "status": "current"
  }
 ],
 "description": "3 claims in the published works of Wulf A. Kaal carry the concept tag 'correlation'. Derived node: a roster, not an adjudicated definition."
}