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Correlation | July 12, 2017

Posted on July 12, 2017

Our Observations: Correlations are very low in nearly every asset class. This is a little bit surprising given the volatility of the bond market, which should be signaling other parts of the market, but that doesn’t appear to be the case. However, we think it would be smart to keep an eye out for correlations […]

Correlation | July 6, 2017

Posted on July 6, 2017

Our Observations: Short-term correlations are still below long-term averages in many asset classes. We think this may provide fertile ground for alpha among single securities and could be a good environment for building a well-diversified portfolio. We see the this as likely driven by the pause in policy expectations, which could be reignited if Congress […]

Correlation | June 21, 2017

Posted on June 21, 2017

Our Observations: U.S. debt has had below-average correlations for much of the year; we believe this provides one of the few diversifying safe havens in the global markets.  Meanwhile, developed foreign bond and EM bonds are near their long-run averages and therefore not as compelling as U.S. bonds in terms of diversification. The correlation figure […]

Correlation | June 14, 2017

Posted on June 14, 2017

Our Observations: Correlations continue to increase in most asset classes, diminishing the diversification benefit of a cross-asset class portfolio. We think much of this can be attributed to the push and pull of fiscal and monetary policies and the related impacts on currency, rates and economic growth. This is a change from the prior several […]

Correlation | June 7, 2017

Posted on June 7, 2017

Correlation between stocks and bonds the increased, as a result of the similar direction of performance. The positive correlation between these two asset classes persists, indicating that rates are still a strong driver of returns. The correlation figure measures how each asset return moves in relationship to the broader basket of asset returns listed on […]

Correlation | June 1, 2017

Posted on June 1, 2017

Our Observations: Brazil’s sharp decline is the top story for correlation. The change in correlation did not spread to other emerging markets or risk assets, supporting the idea that the problems in Brazil are not a systemic issue for Emerging Markets as a whole. The correlation figure measures how each asset return moves in relationship […]

Correlation | May 24, 2017

Posted on May 24, 2017

Our Observations: Stocks, bonds and currencies are exhibiting correlations in the short term that are well below long-term correlations. This is an environment that should offer the opportunity for potential excess return. We think emerging market stocks and currencies may offer the opportunity to lower overall portfolio risk while potentially harvesting better returns. The correlation […]

Correlation | May 17, 2017

Posted on May 17, 2017

Our Observations: Correlations for stocks declined almost across the board, which improved the situation for active stock pickers. However, nearly every other asset saw increases in their correlation, especially those with a high degree of sensitivity toward global rates. We think this could indicate a resurgence in the rate and inflation driven market that has […]