11.30.2023
‘Tis the Season to Spend!
The holiday spending frenzy is well underway as some of the biggest shopping days of the year, including Black Friday…
As they are driven more by supply and demand and less by macroeconomic factors, commodities have historically enjoyed low correlations to other asset classes in an investment portfolio, and are often utilized as a source of diversification. However, the correlations between commodities and other asset classes, such as equities, fixed income, and hedge funds tend to be fluid over time and can change significantly over a market cycle. Our Chart of the Week examines the recent movement in correlations between commodities and the most common constituents of an institutional portfolio: U.S. equities, international equities, bonds, and hedge funds.
The chart above illustrates that in the years leading up to the summer of 2007, rolling 5-year correlations between commodities and other asset classes ranged from as low as -0.07 for fixed income to as high as 0.36 for hedge funds. Correlations spiked after the collapse of Lehman Brothers in September 2008, as macroeconomic conditions took the driver’s seat and pushed correlations to equities and hedge fund strategies upwards over the following years. Recently, though, these correlations have started to retreat towards pre-recession levels, with correlations generally decreasing since July 2013. Given this downward trend, the correlations between commodities and other asset classes make a better case for the asset class and its diversification benefits now than it did a few years ago.
11.30.2023
The holiday spending frenzy is well underway as some of the biggest shopping days of the year, including Black Friday…
11.16.2023
October proved tumultuous for investors as all major U.S. equity indices were negative and the CBOE VIX Index, which serves…
11.08.2023
Earlier this year, the regional banking crisis and eventual collapses of Silicon Valley Bank, Signature Bank, First Republic Bank, and…
11.01.2023
U.S. equities declined for the third consecutive month in October amid an environment of higher yields and underwhelming earnings reports…
10.13.2023
This video is a recording of a live webinar held on October 26 by Marquette’s research team, featuring in-depth analysis…
10.26.2023
Coming into 2023, investors were cautiously optimistic about 2023 market returns; cautious considering the broad losses across asset classes during…
Research alerts keep you updated on our latest research publications. Simply enter your contact information, choose the research alerts you would like to receive and click Subscribe. Alerts will be sent as research is published.
We respect your privacy. We will never share or sell your information.
If you have questions or need further information, please contact us directly and we will respond to your inquiry within 24 hours.
Contact Us >