The asset correlation matrix proves that Treasuries are great diversifiers. It shows the correlation coefficient between Treasuries, developed markets, and emerging market stocks.

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

The inverse of the correlation matrix, however, also has important interpretations. An exposition of some of the properties connected with the inverse of the correlation matrix is provided and its use ...