intermarket correlations with honour to weekly closes; hither is a to a greater extent than detailed expect at intermarket correlations during 2009. What we're looking at are the correlations alongside daily percent changes for the cash marketplace closes across the diverse instruments.
What nosotros come across is that the wry observations of coin managers that "It's all 1 market" are understandable. If global macro participants are bullish on risk, they are selling United States of America dollars, selling United States of America Treasuries (hiking 10-year yields), buying commodities such equally unsmooth oil too copper, too buying stocks.
If global macro participants cash inward one's chips gamble averse, they seek relative rubber haven inward the United States of America dollar too United States of America Treasuries too selling commodities too stocks. Of especial banker's complaint are the correlations betwixt stocks too commodities (copper too crude) too betwixt stocks too the United States of America dollar. Influenza A virus subtype H5N1 sizable proportion of variance inward the daily returns of stocks is shared with these other instruments.
What that tells us is that flows of funds from global macro participants are indeed influencing markets too making it to a greater extent than challenging to accomplish portfolio diversification.
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