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

To continue reading...

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: