We know correlations between sectors and asset classes have been intensifying across markets. What we find really interesting, however, is just how dramatic those correlations now appear.
As Don Fishback over at Minyanville points out (our emphasis):
One-month correlation among the 9 large stock-market sectors reached the highest level since the data became available in 1997. The high correlation is similar to what we saw in October 2008 and March 2009 when everything went down together. Only this time, everything has been going up together. The key word in those 2 sentences is “together.”
Here’s the chart (click to enlarge):
Related links:
HFT correlations over at BarCap – FT Alphaville
Investors go moo – FT Alphaville
Correlated returns – FT Alphaville