Field Notes
Notes on index co-movement, stress windows, and reading correlation with care.
Why average correlation hides the week that matters
A calm five-year average can flatter a book that fails in the same three weeks every crisis.
Currency overlays and the illusion of independent indices
Two equity benchmarks can look loosely linked in local currency and tightly linked once you measure them the way the portfolio actually holds them.
Reading a correlation matrix with trustees in the room
Heat maps impress; captions persuade. How we present index co-movement to non-specialist boards.
When bond and equity indices stop moving opposite each other
The textbook stock-bond offset is a regime, not a law. Stress windows tell you when it failed.