{"title":"美股债相关性:宏观经济驱动因素是什么?","authors":"Junying Shen, Noah Weisberger","doi":"10.2139/ssrn.3855610","DOIUrl":null,"url":null,"abstract":"US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not immutable. In fact, it was consistently positive for more than 30y prior to 2000. A return to positively correlated stock and bond returns may require CIOs to rethink their asset allocation.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"30 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"US Stock-Bond Correlation: What are the Macroeconomic Drivers?\",\"authors\":\"Junying Shen, Noah Weisberger\",\"doi\":\"10.2139/ssrn.3855610\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not immutable. In fact, it was consistently positive for more than 30y prior to 2000. A return to positively correlated stock and bond returns may require CIOs to rethink their asset allocation.\",\"PeriodicalId\":18891,\"journal\":{\"name\":\"Mutual Funds\",\"volume\":\"30 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-05-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mutual Funds\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3855610\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mutual Funds","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3855610","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
US Stock-Bond Correlation: What are the Macroeconomic Drivers?
US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not immutable. In fact, it was consistently positive for more than 30y prior to 2000. A return to positively correlated stock and bond returns may require CIOs to rethink their asset allocation.
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