Corrélation

Voilà un terme qui fait peur aux financiers. La corrélation (entre classes d’actifs), c’est l’antithèse de la diversification donc de la construction de portefeuille. Or il y aurait aujourd’hui plus de corrélation dans les marchés financiers que par le passé, selon les économistes du cabinet RGE:

« While the most intense phase of the recession and financial market volatility are over a year behind us, markets are not de-coupling. In fact, correlations are higher than ever. The causes include cyclical deceleration as balance sheet constraints bite and/or fiscal adjustment begins in the US, UK, and EZ [Euro Zone]; monetary tightening across Emerging Markets including a policy-led deceleration in China; and above all, the persistence of event risk in EZ sovereign credit and the euro itself. This combination of cyclical and structural risks has the potential to become binary through its interaction with asset prices—what Soros calls reflexivity. If a reasonable degree of risk-seeking behavior is maintained, a virtuous cycle of asset reflation can generate a stronger cyclical recovery. But if risk aversion sets in, or there is oscillation as now, an adverse feedback loop between financial markets and the real economy is likely to set in, at a minimum constraining growth and at worst helping to precipitate event risks including another round of financial crisis. The fact that markets are more entwined than ever has important trading and asset allocation implications. »