The recent spread of covid19 has also seen rapid changes in asset/sector correlations:
This is a matrix representing the return correlation across multiple assets (Gold, WTI Oil, US 10-Year Rates, US Equity Markets and multiple market sectors; healthcare, utilities, banks, and energy) through Feb 20.
Here is the same matrix through March 5th. Note the higher correlations across all assets other than Gold.
To emphasize the point, the above shows a rolling average matrix cross correlation, showing the average pairwise correlation increasing since the covid19 epidemic hit Western Europe.
All calculations are as of 3/5/2020, executed on daily data since 12/31/2019.
The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.