Correlation

Category: Quant Insight

Correlations fell over the past few weeks in nearly every asset class, however this may be a seasonal impact. Strong macro conditions such as rising inflation and rates are still in play and evident in the current trend of related asset classes.

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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