Stocks and bonds start to move in step, making quants jittery

Long-established inverse correlation between asset classes breaks down during first quarter


On half the down days in the US stock market so far this year, bonds have also sold off. Some quants are taking this as a sign that the negative correlation between the assets has reached a tipping point.

“If you measure total correlation, then it would still come out as slightly negative. But if you just looked at the down days in stocks, you’ll find that they’re mostly positive,” says Ed Peters, managing director at First Quadrant, a California-based quantitative investment firm. “That’s what

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