Investors are seeing a benefit from portfolio diversification so far in 2013, as the major asset classes have begun to move independently rather than trading in lockstep as they did in 2012. But is this the beginning of a new trend, or just a brief interruption?

The data show that the first two months of 2013 have brought an end to the high asset-class correlations that were in place throughout 2012. Last year was the year of the “macro trade”: As investors’ focus rotated from issue to issue — the European debt crisis, the odds of a hard landing in China, the fiscal cliff, etc. — virtually all markets responded to the headlines in a similar fashion.

The grid below, which uses the major ETFs to show the correlation among the key asset classes in 2012, tells the story.

A quick look at this grid illustrates how highly correlated the various markets were last year. Keep in mind, correlation runs on a scale from -1.0 to 1.0, with -1.0 being perfectly negative correlation, 1.0 being perfectly positive, and 0.0 indicating no correlation whatsoever. In 2012, for instance, the SPDR S&P 500 ETF (NYSE:SPY) had a correlation of 0.88 with iShares High Yield Corporate Bond Fund (NYSE:HYG), indicating that the two funds moved in sync.

Correlations were positive virtually across the board, and were above 0.6 for the vast majority of asset-class combinations. This shows that no matter how well-diversified an investor’s portfolio was in 2012, the various individual investments would have moved in the same general direction — an indication of how important macro issues were in driving performance across all markets last year.

So far in 2013, it’s a different story.

The table below reveals a much different picture from what occurred last year. While the current year has brought high correlations among asset-class combinations where that would typically be expected (for instance, U.S. large caps and small caps, commodities and gold, and so on), in general the major market segments have been moving independently from one another.

Most pronounced are the decoupling of U.S. and emerging-market stocks, high-yield bonds with stocks, and investment-grade bonds with just about everything:

Can this go on? It’s possible, but expect to see some mean reversion sooner rather than later. Last year’s high correlations are actually closer to the 10-year averages than the lower numbers we’ve been seeing in 2013. For instance, the 10-year correlation of  iShares MSCI EAFE Index Fund (NYSE:EFA) with the iShares MSCI Emerging Markets Index Fund (NYSE:EEM) is 0.81 — far closer to last year’s 0.89 than this year’s -0.33.

One reason that asset-class correlation has been fairly high in this longer-term period is that the key driver of performance since the dot-com bubble has been the cycle of continuous crisis and central bank response.

Also, this year hasn’t brought any of the risk-off periods where the markets fall as a group — or in other words, periods during which correlations move closer to 1.0 across the board.

The takeaway? The decoupled markets have given the investors a chance to add some value via diversification and asset class selection since the beginning of the New Year, but this is likely to be a short-term anomaly rather than a longer-term shift.

As of this writing, Daniel Putnam did not hold a position in any of the aforementioned securities.