It is beyond doubt that the past crisis-laden few years have not been good for the concept of statistical correlation when it comes to financial markets.

Simply stated, what was supposed to be correlated in a certain way turned out to be correlated in a completely different fashion. This applied particularly forcefully to mortgage securities, naturally: while those convoluted collateralised debt obligations directly responsible for the mayhem typically assumed that the trashy US housing-based assets that made them up were slightly correlated (ie the probability of their defaulting concurrently was characterised as supremely small), in the end they did all go down in sync (ie the true default correlation turned out to be closer to one in practice than in theory).