高盛：系统冲击-美国新风险可能改变资产相关性

Investment Rating - The report does not explicitly provide an investment rating for the industry or assets discussed Core Insights - Recent simultaneous declines in US equities, bonds, and the Dollar have raised questions about changes in cross-asset correlations [2][4][6] - The Dollar has historically provided protection against equity declines during monetary policy tightening, but recent trends show a weakening Dollar alongside rising yields and falling equity prices, indicating a significant shift [4][6][17] - New structural risks in the US, such as concerns over central bank independence and fiscal sustainability, are altering traditional asset correlation patterns [4][7][17] Summary by Sections Market Performance - Since the peak of the US equity market in late February, equities have declined, long-end yields have increased, and the Dollar has weakened [2][4] - The report highlights that bonds typically protect equity portfolios during negative growth shocks but fail to do so during monetary policy tightening shocks [6][18] Cross-Asset Correlations - The report identifies a new set of shocks affecting market dynamics, including tariff concerns, bond market dysfunction, and fiscal sustainability worries, which have not been prominent in recent memory [7][17] - The correlation structure has shifted, with the Dollar weakening alongside equity and bond weakness during these new structural risks [4][16][17] Portfolio Implications - Longer-dated bonds may be less effective as risk reducers than usual, while front-end yields could provide protection against equity downside in growth concerns [18] - Positioning for USD weakness against currencies like EUR, JPY, and CHF is recommended to mitigate new risks [18][19] - Gold is expected to perform well in the context of these structural risks, suggesting a potential allocation in diversified portfolios [19]