The correlation between stocks and the S&P 500 has reached a 20-year high of 0.73, up from 0.44 in July—posing a real challenge for individual fund managers, according to Goldman Sachs.

“Record high S&P 500 and sector correlation poses a challenge for fundamental investors,” said Goldman Chief U.S. Investment Strategist David Kostin. “Elevated correlation is generally considered a poor environment for long-only fundamental investors. In highly correlated sell-offs, the market does not discriminate based on company fundamentals, reducing the value of stock picking.

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