Cross-asset correlations: what's working right now?

Correlations between currencies, bonds, equities and commodities shift over time — what worked last quarter may be broken this one. Mapping the current correlations is a monthly exercise.

Cross-asset correlations: what's working right now? — currency correlation diagram
Two currency pairs moving in and out of correlation

What are you seeing?

  • the correlations that are holding
  • the one that recently broke
  • how it changes your trading
Cross-asset correlations: what's working right now? — risk-reward diagram
A risk-reward ratio of 1 to 2

Background: currency correlation explained.

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