HSBC generated two heat maps that show the correlation matrix of various asset classes pre-Lehman and post-Lehman. If these don't illustrate the Risk-On/Risk-Off (RORO) hell that we've been living through for the last few years, I don't know what does.
HSBC's conclusions, courtesy of the FT:
Many managers feel that with so many assets now moving in tandem, the whole investment process is broken;
but RORO is here for a good while longer since it reflects a world where markets are pricing in the bimodal nature of QE and other policy responses to the crisis;
so asset managers need to adapt, be that through a more imaginative approach to diversificaiton [sic] or simply accepting that the RORO trend is their friend
Pre-Lehman Correlation Matrix, HSBC
Post-Lehman Correlation Matrix, HSBC
Many managers feel that with so many assets now moving in tandem, the whole investment process is broken;
but RORO is here for a good while longer since it reflects a world where markets are pricing in the bimodal nature of QE and other policy responses to the crisis;
so asset managers need to adapt, be that through a more imaginative approach to diversificaiton [sic] or simply accepting that the RORO trend is their friend
hemenparekh 
First-Mike 
Stephen 
Sadie Heldberg 
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