Based on large sample of US Liquid Alternatives, we calculate the correlation structure over the last three year. In this set, we have 160 daily return streams, almost of all of them representing unique strategies. Based on a clustering algorithm, we identify two types of cluster, one represented by Equity Long/Short manager, with a distinctive correlation to equity markets and the Managed Futures funds, mainly representing Trend Following strategies.
In the data set, we also have a few truly uncorrelated strategies. Specifically, a few manager that are trading macro from a fundamental perspective and a short term strategies. However, we note that both the unique strategies and the CTAs have a low correlation to equity related strategies. So, while they have not always provided tail risk protection or the returns needed, the low correlation property is still intact.
The data is available (currently in beta stage) in the regular place.
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