Marrying correlation and asset allocation

Coping with correlation

Asset allocation in uncertain times

Rising correlation over the past decade, together with assumptions based on historical data being wiped out by the credit crisis, has left asset allocators and portfolio managers in a difficult place.

“We are now in a macro period, where the relationship between assets and correlation means we are susceptible to macro movements,” says Dan Draper, managing director and global head of exchange-traded funds (ETFs) at Credit Suisse in London. “It is a different monetary policy we are seeing emerge be