Correlation | September 7, 2017

Category: Quant Insight

Correlations in nearly every asset continued to decline, indicating the weakening of macro forces particularly around rates and inflation. As of now, we think there is little indication that tax reform or infrastructure spending are on the near-term horizon, diminishing the chance of stronger inflationary forces.

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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