If you’re a regular reader (and let’s face it, why wouldn’t you be?) you know I talk quite a bit about cross-asset correlations and volatility.
There’s a pretty simple explanation for why I’m so obsessive about it. Here’s how I explained it recently:
These posts are the product of my efforts to verbalize the macro narrative that’s developing in real time in my head. That narrative centers on how broad asset classes respond to each other and to exogenous and endogenous factors and shocks.
Perhaps that’s why I find cross-asset correlations so interesting.
Got it? Good.
Given that, I thought I’d highlight the following up to date cross-asset vol table and correlation matrix (both from Goldman). These are handy pocket guides for those who, like me, find such things interesting.