Correlation

Category: Quant Insight

Correlations increased in most asset classes especially among bonds and stocks. We believe rising global rates are playing a key macro role, eroding the diversifying benefit of bonds and that many investors might look to cash for safety as this plays out.

The correlation figure measures how each asset return moves in relationship to the broader basket of asset returns listed on the X axis. When correlations are high or rising, it may indicate that economic movements and sentiment are driving the majority of returns, which could potentially make security selection challenging.

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