Whitepaper - May 2018

The Correlation See-Saw

Analyzing the effect of cross-asset correlation shifts on portfolio risk

The first five months of 2018 were characterized by dramatic shifts in multi-asset class relationships, with an unusual back and forth of asset prices and correlations, as themes dominating the investment landscape alternated. In this paper, Christoph Schon analyzes how the different correlation regimes present during this time affected the overall volatility and risk decomposition of Axioma’s global multi-asset class model portfolio.


Christoph Schon, CFA, CIPM

Senior Principal, Applied Research