Bloomberg Talks Michael Purves Talks Cross Asset Volatility
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Mar 18, 2026 Michael Purves, founder and CEO of Tallbacken Capital Advisors and cross-asset volatility specialist. He unpacks rising cross-asset correlations and what they signal about market risk. He contrasts VIX, crude and stock linkages. He frames recent moves amid jobs and inflation complexity and warns Iran tensions could amplify economic divergence.
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Commodities Driving Risk Despite Moderate VIX
- Cross-asset correlations spiked despite a VIX near its long-term average of ~21.
- Crude's correlation with the VIX and high-yield spreads reached top 2% decade readings, showing commodities are driving risk pricing.
Equities Still Showing Idiosyncratic Moves
- Stock cross-correlations remain muted even as commodity-driven correlations rise.
- Michael Purves notes individual stocks can diverge daily, so markets are not in a uniform risk-off regime yet.
Contextualize Risk With Cross Asset Correlations
- Step back and contextualize markets by examining cross-asset correlations rather than single metrics.
- Purves says looking at correlations between crude, VIX, and high-yield reveals the true risk environment.