Correlations usually increase on the way down like they do now

We calculated a 50x50 Correlation Matrix and look for PAIRS that have relative stable and significant Correlations and filter for the biggest changes.

We usually find some strange bedfellows that group together (see color groups)

JNJ "SAFE HAVEN":

TLT, ABT, inverse MS.

or the cyclical MMM group:

QQQ, EFA, COST, inverse VXX

FCX Group:

EWZ,EEM,FXI

WHAT does it all mean?

It means that in times of expected Volatility Mr Market begins too shy away from single name risk towards Basket risks. Baskets in times of ETFs can be traded nicely with ETFs, Options and limited capital particularly infront of OPEX.

You can summarize this in 3 words: INCREASED SYSTEMATIC RISK or simply growing illiquidity!!