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The evolution with time of the correlation structure of equity returns isstudied by means of a filtered network approach investigating persistences andrecurrences and their implications for risk diversification strategies. Webuild dynamically Planar Maximally Filtered Graphs from the correlationstructure over a rolling window and we study the persistence of the associatedDirected Bubble Hierarchical Tree (DBHT) clustering structure. We observe thatthe DBHT clustering structure is quite stable during the early 2000' becominggradually less persistent before the unfolding of the 2007-2008 crisis. Thecorrelation structure eventually recovers persistence in the aftermath of thecrisis settling up a new phase, distinct from the pre-cysts structure, wherethe market structure is less related to industrial sector activity. Notably, weobserve that - presently - the correlation structure is loosing againpersistence indicating the building-up of another, different, phase. Suchdynamical changes in persistence and their occurrence at the unfolding offinancial crises rises concerns about the effectiveness of correlation-basedportfolio management tools for risk diversification.

Risk diversification: a study of persistence with a filtered correlation-network approach