Transcription of Equity-Bond Correlation: A Historical Perspective
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Equity-Bond Correlation: A Historical Perspective
Graham Capital ManagementResearch Note, September 2017 Equity-Bond Correlation: A Historical PerspectiveJack Fan1, Marci Mitchell2 AbstractThe Equity-Bond correlation has been negative since the early 2000s. A certain conventional wisdom has developedthat this negative correlation is natural and enduring. However, when we take a much longer Historical Perspective andexamine data going back to 1870s, we find that the Equity-Bond correlation is highly dynamic and has gone throughprolonged periods of positive correlation. As such, we should not dogmatically assume that the Equity-Bond correlationwill be negative going forward, especially in the context of asset allocation and portfolio ; Stocks; Bonds; Beta1 Quantitative Research Manager2 Quantitative Research Analyst1. IntroductionEquity- bond correlation is immensely important for a multitude ofportfolio management tasks ranging from asset allocation to riskmanagement.
Graham Capital Management Research Note, September 2017 Equity-Bond Correlation: A Historical Perspective Jack Fan1, Marci Mitchell2 Abstract The equity-bond correlation has …
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