Nicole Bastian Johnson, Vasant Naik, Sébastien Page, N. Pedersen, Steven G. Sapra
{"title":"股票-债券相关性","authors":"Nicole Bastian Johnson, Vasant Naik, Sébastien Page, N. Pedersen, Steven G. Sapra","doi":"10.21314/JOIS.2015.034","DOIUrl":null,"url":null,"abstract":"The correlation between stocks and bonds is one of the most important inputs to the asset allocation decision. However, it is difficult to estimate reliably, and can change drastically with macroeconomic conditions.1 From 1927 to 2012, the correlation between the S&P 500 and long-term Treasuries – as calculated by calendar year based on monthly data – has changed sign 29 times, and has ranged from −93% to +86%.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"4 1","pages":"3-18"},"PeriodicalIF":0.0000,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"34","resultStr":"{\"title\":\"The stock–bond correlation\",\"authors\":\"Nicole Bastian Johnson, Vasant Naik, Sébastien Page, N. Pedersen, Steven G. Sapra\",\"doi\":\"10.21314/JOIS.2015.034\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The correlation between stocks and bonds is one of the most important inputs to the asset allocation decision. However, it is difficult to estimate reliably, and can change drastically with macroeconomic conditions.1 From 1927 to 2012, the correlation between the S&P 500 and long-term Treasuries – as calculated by calendar year based on monthly data – has changed sign 29 times, and has ranged from −93% to +86%.\",\"PeriodicalId\":90597,\"journal\":{\"name\":\"Journal of interaction science\",\"volume\":\"4 1\",\"pages\":\"3-18\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"34\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of interaction science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21314/JOIS.2015.034\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of interaction science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21314/JOIS.2015.034","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The correlation between stocks and bonds is one of the most important inputs to the asset allocation decision. However, it is difficult to estimate reliably, and can change drastically with macroeconomic conditions.1 From 1927 to 2012, the correlation between the S&P 500 and long-term Treasuries – as calculated by calendar year based on monthly data – has changed sign 29 times, and has ranged from −93% to +86%.
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