EFTA Document EFTA01377064

CIO Insights -August 2016 Multi Asset 7 Figure 2. Correlations change over time Unstable correlation 1.0 0.0 -1.0 1943 Portfolio diversification has become an important issue in this cycle. The natural diversifiers, fixed-income 60% sovereigns, are now zero-yield, negative-convexity assets. Inter- asset-class correlation (looking beyond bonds) has also increased 0% substantially over the last few years and - as we know - tends to increase to one in larger risk-aversion event