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

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

stocks-and-bonds-1302903381.jpg

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Sign up here

 

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: