Suna Reyent

Calculating Country Risk Observed by Betas

If I run these regressions on the past 6 months of data I'm confident that I will get significantly higher correlations. That's a good idea for another writeup. I will actually run the numbers and publish what I get.

However that's the nature of the beast when it comes to diversification. It does work surprisingly well most of the time until it doesn't, especially when you need it the most.

A powerful market crash as the current one is one such example. Every country got affected, even those that show the lowest betas.