DM Equity Correlations at 23-Month Lows

DM Equity Correlations at 23-Month Lows

Developed market equity correlations have significant decline since the beginning of September and now stand at the least correlated levels since 12/2014. The 65-day correlation of GKCI Developed Markets Index relative to the MSCI World Index is just 32% compared to 51% on 9/9/16. Looking under the hood we can see that the recent decline in equity correlations can be mainly attributed to European stocks. The 65-day correlation for GKCI DM EMEA index relative to the MSCI World Index is at 36% which is the lowest level since 7/31/2014. GKCI DM Americas index is at 46% which is slightly below the 10-year average of 52%. As usual, DM Asia has proved the lowest correlation to the MSCI World Index as the 65-day correlation has fallen to just 11%.



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