Category: Quant Insight

Correlations among commodities and stocks declined as interest rates have risen sharply. We see this setting up a continuation of the reflation theme that dominated the first quarter of 2017. We think it will be important to look for the 10-year Treasury to push past 2.40% as a good signal that reflation has returned.

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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