Journal of Investment Strategies

The stock–bond correlation

Nic Johnson, Vasant Naik, Sebastien Page, Niels Pedersen and Steve Sapra


The correlation between stocks and bonds is difficult to estimate reliably and can change drastically with macroeconomic conditions. We have developed a model that uses macroeconomic factors to explain the relationship between equities and treasury. This econometric model produces forward-looking correlations at various time horizons. Given current conditions, we expect the correlation to remain negative as long as business cycle variables dominate the effect of rate and inflation surprises. But, importantly, we show that, under certain market conditions, the diversification between stocks and bonds may not be as effective as most asset allocators usually assume.

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 View our subscription options

You need to sign in to use this feature. If you don’t have a 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