The Stock-Bond Correlation

• Published in: Journal of portfolio management Vol. 47; no. 3; pp. 67 - 76
• Main Authors: Czasonis, Megan, Kritzman, Mark, Turkington, David
• Format: Journal Article
• Language: English
• Published: London Pageant Media 01.02.2021
• Subjects: Innovations; Investments; Investors; Portfolio management; Rates of return; Risk management; Standard deviation; Stocks; Time series

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock–bond correlation simply by extrapolating the historical correlation of monthly returns; they assume that this c...