The Impact of COVID-19 on Multi-Asset Class Relationships
Has the correlation between rates and equities remained negative since the coronavirus outbreak? Read our blog on the topic.
How to interact with this plot: Click on any cell in the heatmap to see the corresponding time series of volatilities and correlations. Use the radio buttons to select a model horizon.
Source: The MSCI Multi-Asset Class Factor Model (MAC). Learn more about the model here.
Note: The MAC model adopts the following sign conventions for rates, inflation and credit factors. For rates factors, positive returns correspond to positive Treasury-bond returns and negative interest-rate changes; for inflation factors, positive returns correspond to positive returns of inflation-linked bonds (everything else equal) and negative changes in inflation expectation; and for credit factors, positive returns correspond to positive credit-asset returns (everything else equal) and negative changes in credit spreads.