Results were just as reported here. Our correlation with the US tightened. In fact we still have this kind of analyst jargon here that talks of “coupling” and “decoupling” with the US markets. The US futures market used to appear to lock step our every move before we even got out of bed.

So we should not assume, good fund manager excuse as it sounds, all correlations move to “one” necessarily. They didn’t. One should also bear in mind that in trying not to infer cause from correlations that the square root of these things tells you how much a linear equation is explaining… and even with high correlations the answer is… not always that much.

Conclusion – before incurring the vast transaction costs trying to chase changes in correlations think very carefully – and as Liebowitz and Bova suggest, try actually studying them rather than getting the cocktail party version.