Good chart by Jim Bianco on correlations across asset classes. Jim looks at six asset classes and charts the lowest correlation against stocks on a rolling basis. The numbers are at extremes. While calculated on a three-month basis, the correlations minimum has jumped from -.8 to around .70 in about sixty days. This is consistent with the risk-on and risk-off trades we have been seeing, but even that story does not explain why such diverse assets would be so positively correlated.
We are actually having more dispersion with economic data between developed and emerging markets, so this spike is mysterious. We are also at higher levels than during the crisis. An explanation will require deeper analysis.
We are actually having more dispersion with economic data between developed and emerging markets, so this spike is mysterious. We are also at higher levels than during the crisis. An explanation will require deeper analysis.
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