That was the lesson that LTCM's successor fund, JWM Partners, drew from its predecessor's crisis. In JWM Partners' risk model, all the fund's positions, no matter how diversified geographically or how unrelated in asset type, are now assumed to have correlations of 1.0 "to the worst event" (Meriwether interview). In other words, it is assumed that in an extreme crisis all the fund's positions may move in lock-step and adversely, even those positions that would in the abstract be expected to rise in relative value in a crisis (in other words, the cases in which it holds the more liquid or more creditworthy of two instruments and has a short position in its less liquid or less creditworthy counterpart).

Donald MacKenzie, An Engine, Not a Camera, loc. 1230