I've noticed over the last few months that emerging markets (mainly through index funds) seem to take much heavier hits when the domestic US indexes go down - this would give them a beta of great than 1.0. Oddly, many discussions in asset allocation often assume that emerging and foreign markets correlate less and might zig when the US zags.
Here's an interested chart at Yahoo finance that shows a close, but exaggerated correlation between EEM (emerging markets ETF) and the S&P 500.
Over the last few months it seems that almost everything except US Treasuries has zigged downward together - even most commodities.
What should an asset allocator do? I imagine we're approaching a time when we need to rethink asset allocation classes.