For an interesting collection of charts showing the correlations between different asset classes, click on Bespoke Investment Group’s
Asset Class Correlations
Today’s Wall Street Journal had an interesting article about asset class correlations. With that in mind, below we highlight (click here for PDF) a correlation matrix of various asset classes including the S&P 500 sectors, oil, gold, the dollar, the yen, emerging markets, the 10-year note and the FTSE 100. The first matrix highlights the correlation between the daily percent changes of asset classes since the S&P 500 peaked on October 9th, 2007. Each column (vertical) is color coded from green to red based on highest to lowest correlations.
