With just over a month until the U.K. vote on European Union membership, investors are increasing treating the pound like an emerging-market currency.

While sterling was used as a haven during the European debt crisis, the specter of a Brexit has pushed it to the other end of the spectrum. The correlation between sterling and an index of emerging-market currencies has climbed to the highest since the global financial crisis as the June 23 vote approaches. This suggests that, like developing-nation assets, the pound rallies when the market seeks riskier investments, and vice versa.

The correlation is "by no means perverse," said Chris Scicluna, London-based strategist at Daiwa Capital Markets Europe Ltd.