Cross-Asset Correlations Shift Sharply After Turbulent Weeks
Cross-asset correlation analysis reveals significant shifts, albeit still within a short-term context. Nevertheless, when historically stable correlations reverse within just a few weeks, the message is fairly clear: we are operating in an exceptional market regime that demands an extra layer of attention and caution.
The most telling data point emerges from comparing recent correlations (last 30 days) with historical ones (the previous year): out of 56 asset pairs showing significant variation, 54 are weakening. This signals the intense volatility currently sweeping through markets, but it may also hint at something structurally deeper beginning to change.
The new alliances: defensive convergence
Only two asset pairs show strengthening correlations, and both tell the same story.
The correlation between medium-term Treasuries and Utilities has risen from 0.16 to 0.59, a jump of 43 points that moves it from neutral territory into a meaningful positive correlation.
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Analysis generated on March 11, 2026. Data based on correlations of daily percentage returns, comparing the last 30 days with the previous 252 trading days.
