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- Yossarian22
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Bond Equity Correlation with equity
Barclays Agg Bond Indeex is a wild card. Negative daily correlation, but monthly correlation ranges from -0.43 (2007,2010) to 0.30+(2009, 2010). Any idea why?
Last edited by Yossarian22 on July 13th, 2011, 10:00 pm, edited 1 time in total.
Bond Equity Correlation with equity
Barclays agg bond has both govt bonds and corporate bonds in it. Govt bonds are negatively correlated with equity, while corporates are positvely correlated with equity and vix.Monthly probably is a factor of which one is overpowering the other. During 2009,2010, the equity/credit rally was pretty strong
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- Martinghoul
- Posts: 188
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Bond Equity Correlation with equity
I don't think there's any reason to assume a particular correlation. Just my Z$2c.