Bond-stock correlations around the world - All have been moving higher

Treasuries have been a great diversifier for the US stock market. The same cannot be said for international bonds from developed markets or emerging market bonds. Treasuries have played a unique safety role not just for US stocks but also other stock markets around the world. Unfortunately, all of these correlations are moving higher so the bond diversification gain has been declining. 

A simple analysis provides the foundation for the safety argument. We looked at the following combination of ETFs, SPY as a stock benchmark, IEF as a Treasury bond benchmark, BWX as a developed market international bond index, and EMB as an emerging market bond index proxy. The correlations are based on one year of daily data.