CROSS-ASSET CORRELATION BREAKS
The single highest-information-content macro signal: cross-asset correlations break before prices break. 60-day rolling correlation matrix across 10 instruments (equities, rates, FX, commodities), z-scored against 1Y baseline. Aug-2024 yen carry unwind, Mar-2020 dollar funding, 2022 inflation regime — all preceded by composite z > 2σ.
TOP BREAKING PAIRS
most-deviated correlations (sorted by |z-score|)
WHAT THIS MEANS FOR YOUR PORTFOLIO
interpretation of the top breaking pair · asset implications
CORRELATION HEATMAP
60-day rolling correlations · click toggle to compare
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latest 60d window
FROBENIUS DELTA OVER TIME
||M(t) − M(t−60d)||_F · 1Y history · spikes = regime breaks