1\begin{tabular}{lrrrrrr}2\toprule3Cell & Return correlation & Fundamental correlation & Excess comovement & DY spillover (\%) & Mean $|P/V-1|$ (\%) & Max drawdown \\4\midrule5Two assets & -0.01 & 0.38 & -0.39 & 1.21 & 0.76 & 0.04 \\6Two assets + leveraged 19\% + funding shock & 0.02$^{*}$ & 0.34 & -0.32 & 1.25 & 11.82$^{***}$ & 0.12$^{***}$ \\7\midrule8Seeds per cell & 30 & & & & & \\9\bottomrule10\end{tabular}