Investing in the next cycle #2: equity-bond correlation flips
US EQUITY-BOND CORRELATION
0.8
0.8
EQUITIES FALL WHEN BOND YIELDS RISE
0.6
0.6
0.4
0.4
0.2
0.2
0.0
0.0
-0.2
-0.2
-0.4
-0.4
EQUITIES RISE WHEN BOND YIELDS RISE
-0.6
-0.6
ROLLING 36 MONTH CORRELATION BETWEEN THE 1 MONTH TOTAL RETURN ON S&P500 AND 1 MONTH RETURN ON 10 YEAR TREASURIES.
-0.8
-0.8
00 10 20 30 40 50 60 70 80 90 00 10 20
1
Sources: Standard & Poor’s, Bloomberg, GFD, NBER
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