Pension funds cautioned on equity-bond correlation

Buy-siders need to plug changes into VAR, say risk managers


Asset managers are disregarding the chances of a lasting shift in correlation between bond and equity prices, according to experts, with pension funds particularly unprepared.

Negative correlations have been the theoretical underpinning for investors diversifying their assets for 20 years. While some are optimistic about pension funds' resilience to correlations spiking, saying their liabilities drop more than the value of the stocks and bonds they own, others suggest pension funds are less

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Uncharted waters

How pension plans can better equip themselves for a period of economic upheaval. By Matthew Seymour, RiskFirst, a Moody’s Analytics Company

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