woensdag 7 september 2016

Cross-Asset Correlation Vs. Gold

Cross-asset correlation between stocks, credit, foreign exchange, interest rates, and commodities can give an indication on where the gold price is headed to. When there is a financial crisis, the volatility goes higher and as a consequence, the level of cross-asset correlation goes higher. During this crisis period, investors tend to use index products which adds to the level of correlation. Particularly high are indicators of the macro environment such as rate-equity, oil-equity, and Euro-equity correlations.

What's interesting is that gold is correlated to the level of cross-asset correlation.

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