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Back to the front
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Cross-asset research and
strategy documentation.

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Market atlas Strategy library

Sections

Strategy documentation, cross-asset analytics, and market structure by country.

Strategies

Strategy library

Derivative and structured-product strategies, each stating its objective, implementation and principal risks.

Signals

Cross-asset analytics

A rolling correlation matrix across the thirteen instruments that drive multi-asset positioning, with dated commentary.

Atlas

Market atlas

Twenty-six equity markets: capitalisation, macro indicators, benchmark sector composition and largest constituents.

Coverage

Derivative and structured-product strategies

Each entry states its objective, its implementation and its principal risks. Selection reflects mandates worked on directly rather than a survey of the field. Select an entry for detail.

Capabilities

Technical coverage

Cross-asset analytics

Rolling correlation matrix

Pairwise correlation of daily returns across the thirteen instruments that drive multi-asset positioning. Changes in sign carry more information than changes in level.

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Observations
    Methodology

    Computed on the trailing sixty observations common to all thirteen series. Yield and implied-volatility series are differenced rather than returned, since the correlation of a level against a price is not interpretable. A matrix converging toward one indicates diversification has been withdrawn at the point it is required.

    Source series are end-of-day closes. Where a series is unavailable the prior value is retained and marked.

    Commentary

    Market commentary

    Dated entries recording a market development and its positioning consequence. Maintained manually.

      Market atlas

      Coverage by market

      Twenty-six equity markets. Select a metric to colour the map, or select a market for its macro indicators, benchmark sector composition and five largest constituents by capitalisation.

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