Correlation | September 21, 2017

Category: Quant Insight

We think the declining correlation across all markets signals a fading macro theme related to rates and inflation. Current data shows some signs of inflation but has yet to establish itself as a macro theme.

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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