Research Focus: Correlation Study
Correlations switch-over for European equities, high yield, US and Emerging Market Equities
It seems that fund selectors have radically changed their assumptions about asset class behaviour over the past year.
In the year up to mid-2015, the attitudes of fund selectors to Emerging Market and US equities were highly correlated.
European equities and developed market high yield were similarly correlated to each other.
And the two pairs of correlated asset classes mentioned above were inversely correlated to each other until half-way through last year.
In other words, when fund selectors turned against US/Emerging Market equities, they would become more positive towards Europe equities/high yield and vice versa.
That medium-term relationship started changing sharply around a year ago. Now sentiment towards Emerging Market equities is strongly correlated with high yield and inversely correlated with US and Europe equities – a complete turnaround.
It’s clear from this that habits of portfolio construction and assumptions about the behaviour of these asset classes have changed across Europe.
Source: Expert Investor, 'Fund Selector Asset Class Report' May 2016, sponsored by T. Rowe Price
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