Between 2000 and 2007, the risk-adjusted returns on a trade that involved borrowing at low interest rates in developed markets and investing in emerging markets had a 0.18 correlation with the S&P 500 risk-adjusted return. During the 30 days ended July 8, the correlation was 0.77, according to Renaissance Macro. High-yield bond returns and the S&P 500 returns had a 0.06 correlation before the financial crisis, compared with the recent 30-day correlation of 0.67. Returns on a basket of commodities was at negative 0.01 correlation the benchmark stock index. Now it’s at 0.58.