At the individual country level, the latest chart of global correlation hotspots revealed sharp increases in correlations in Spain, Portugal, Switzerland, Belgium, Netherlands, Sweden, Finland, Saudi Arabia, India, Thailand, Brazil and the US. Axioma’s Worldwide short-horizon fundamental model showed correlations increased by more than two percentage points in these countries last week. In contrast, both Slovenia and Venezuela showed a decrease of two percentage points over the same period. At the same time, volatility rose more than one percentage point over last week in some of these counties where correlations shot up: Switzerland, Finland, Saudi Arabia, India, Thailand and Brazil.
See graph from Equity Risk Monitors as of 25 May 2017: