A one-month correlation matrix as of September 14th shows the strongest correlation among similar assets: CDX investment-grade bonds are correlated with high-yield credit spreads at 97%, 10-year and 30-year US Treasury yields at 94%, the euro/dollar and pound/dollar at 89%, and the S&P 500 and Russell 2000 at 79%. Investment-grade bond futures are correlated with 10-year and 30-year yields at -93% and -90%, respectively.
Across asset classes, oil prices are correlated with 10-year US Treasury yields, investment-grade and high-yield credit spreads at 76%, 79%, and 76%, respectively, while they are correlated with the S&P 500 and Euro Stoxx 50 at -57% and -63%, respectively. This indicates that the recent rise in oil prices is mainly synchronized with rising yields, increased credit risk, and pressure on the stock market, with energy and inflation once again becoming common variables across asset classes.
