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Part I
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Quantitative Analysis
Quantitative Analysis
Medium
During the COVID-19 crash in March 2020, the correlation between equity and bond returns jumped from -0.25 to +0.55 within two weeks. This phenomenon is best described as:
A
Correlation breakdown under stress, where diversification benefits evaporate precisely when they are needed most
B
Mean reversion of correlation toward its long-term average
C
Sampling error from using too few observations in the estimation window
D
Spurious correlation caused by non-stationary price levels
Select an answer to continue
Tags
#correlation-breakdown
#stress-testing
#diversification
#regime-change
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FRM Part I — Quantitative Analysis Practice Question | AcadiFi | AcadiFi