Asset Contagion Worse Than 2008 as Markets Held Hostage to Rates
- Treasuries, corporate bonds exerted big influence on others
- JPMorgan analyst warns of violent unwind of correlations
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Memo to macro money managers who sense that diversifying funds is harder than ever: you’re not imagining things.
Consider a Credit Suisse Group AG gauge known as the cross-market contagion indicator, which tracks price relationships in equities, credit, currencies and commodities. It shows that different markets are influencing each other in 2016 at a higher rate that any time since the measure was invented in 2008. The indicator assesses how much movements in one market are statistically explained by movements in another.