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ClosetChartist
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Joined: July 17th, 2003, 4:41 pm

BarCap and Equity Correlation

April 17th, 2012, 12:54 pm

Looking at daily returns from S&P Total Return and BarCap, I see persistently negative correlation for a variety of time periods and horizon lengths.Can someone explain structurally why this should be so?
 
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daveangel
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BarCap and Equity Correlation

April 17th, 2012, 1:14 pm

I don't understand why you are looking at Barcap - is it even listed ?
knowledge comes, wisdom lingers
 
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ClosetChartist
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BarCap and Equity Correlation

April 17th, 2012, 2:02 pm

It's the replacement for Lehman Agg and is available from a variety of sources.It is an investment benchmark for many fund managers, which makes it a point of interest.
 
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daveangel
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BarCap and Equity Correlation

April 17th, 2012, 2:34 pm

is it call "BarCap" ?
knowledge comes, wisdom lingers
 
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BramJ
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BarCap and Equity Correlation

April 17th, 2012, 2:46 pm

If I'm guessing correctly, he's talking about the iShares Barclays Aggregate Bond Fund (AGG)
 
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ClosetChartist
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BarCap and Equity Correlation

April 17th, 2012, 2:46 pm

It is the Barclay's Capital Aggregate Index.Bloomberg ticker LBUSTRUU.
 
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daveangel
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BarCap and Equity Correlation

April 17th, 2012, 2:52 pm

flight to quality ?
knowledge comes, wisdom lingers
 
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Aleatoire
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BarCap and Equity Correlation

April 18th, 2012, 8:57 am

Most developed markets (EUR, GBP, USD) currently exhibit a remarkably high positive level of realised correlation between interest rates (e.g., 10-year high-quality government bonds) and equity markets. Two economic justifications could explain this fact1. Following the mid-1990s anchoring of inflationary expectations, allocation decisions (e.g., relative value, cross-market hedging demand, etc.) drove investor flows: should you buy stocks or bonds? (beforehand, inflation was driving investor flows, i.e., should you invest for the long term (stocks + bonds) or hold cash?)2. The recent crisis and repricing of deflation risk accelerated this trend Before mid-1990 ---> very negative correlationAfter mid-1990 ---> positive to very positve correlationOn average zero...but as many things in life, the expected value is not to be expected...