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

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s