Glossary / Wealth and risk
Correlation breakdown
Correlation breakdown is when assets that usually move independently, or in opposite directions, start moving together, often during market stress. The diversification a portfolio relied on then protects less than past correlations suggested.
Written by Antevo · 15 September 2026
See it in practice01 / In practice
Illustrative only, with invented round numbers. A fictional CHF 1,000,000 portfolio holds CHF 600,000 in equities and CHF 400,000 in bonds. Based on past behaviour, a planning assumption is that if equities fall 20%, bonds rise 5%: −120,000 + 20,000 = −CHF 100,000, or −10%. If the usual relationship breaks down and bonds fall 5% alongside equities, the result is −120,000 − 20,000 = −CHF 140,000, or −14%. The extra CHF 40,000 comes only from the changed relationship between the two assets. The BIS reported that the correlation between US equity and government bond returns switched from negative to positive in mid-2021.
02 / In Antevo
Where you will
meet it.
The stress-testing page explains stress testing on a fictional sample portfolio, with a scenario explorer and the coverage and method shown.
Go there03 / Related terms
Read next.
04 / Sources
Where this comes from.
Primary sources for the definition above. Intelligence, not advice: your adviser or counsel confirms anything a decision rests on.