Correlation of Asset Classes

Correlations breaking down left and right. Between asset classes, countries, factors and stocks.

“A natural response as the nadir of the crisis recedes further into the past and normality returns to markets that can respond to their own ‘fundamentals’ rather than one common risk-on-risk-off dynamic. That means that asset markets can start to diverge.” (Nomura)

Absolute correlation among asset classes continues to fall rapidly:

Correlation of Asset Classes


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