APPLIED RESEARCH WHITEPAPER
Arrow_Blue_Orange.pngThe Correlation See-Saw


The first five months of 2018 were characterized by dramatic shifts in multi-asset class relationships, with an unusual back and forth of asset prices and correlations, as themes dominating the investment landscape alternated. In this paper, Christoph Schon analyzes how the different correlation regimes present during this time affected the overall volatility and risk decomposition of Axioma’s global multi-asset class model portfolio.



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The Correlation See-Saw


The first five months of 2018 were characterized by dramatic shifts in multi-asset class relationships, with an unusual back and forth of asset prices and correlations, as themes dominating the investment landscape alternated. In this paper, Christoph Schon analyzes how the different correlation regimes present during this time affected the overall volatility and risk decomposition of Axioma’s global multi-asset class model portfolio.



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Author: 
Christoph V. Schon, CFA, CIPM, Executive Director, Applied Research