Global financial markets have become more connected over time, in terms of both information and capital flows. The impact this increased connectedness on asset prices is unclear. This thesis investigates co-movement characteristics among various asset classes including: equities, credit, foreign exchange, commodities, and interest rates. I find that many assets classes that may have been formerly unrelated are now seeing significant, measurable interrelatedness. For investment managers, understanding cross-asset correlations, especially in an environment where correlations are rising, becomes an important consideration when developing risk-mitigating portfolio strategies.