Conventional wisdom holds that when stocks zig, bonds zag. The negative correlation between stocks and bonds has underpinned asset allocation models for nearly two decades, spawning the ubiquitous 60/40 portfolio and new variants, such as risk parity strategies.
But when the S&P 500 logged its first major decline of 2018, bonds fell in tandem, fuelling talk of a possible regime shift and raising questions about whether changes in the correlation are predictable.
“One of the big issues at the
The week on Risk.net, September 8-14, 2018Receive this by email