### References

[1] We use the average local returns of a range of international and domestic futures markets to represent equity index and bond sectors. The returns are weekly to minimise the effect of different exchange closing times. Rolling correlation is calculated using a 52-week window.

[2] To represent each sector we used the average weekly performance of the most liquid futures markets within a sector. We do not perform the analysis on currencies as investors are unlikely to have a long only position in currencies. Results for bonds and short term interest rates were very similar and so we only present the results for the bonds sector.

[3] Kurtosis isn’t strictly a measure of the “peakedness” of a distribution as it measures how heavy the tails are compared to the rest of the distribution. However, it can be used to distinguish flat, uniform distributions from those that have little weight in the tails.

[4] For comparison, a normal distribution has an excess kurtosis of zero and a uniform distribution has an excess kurtosis of -1.2.