变化中的股票-债券相关性:驱动因素和影响

IF 1.1 4区 经济学 Q3 BUSINESS, FINANCE Journal of Portfolio Management Pub Date : 2023-01-11 DOI:10.3905/jpm.2023.1.459
Alfie Brixton, J. Brooks, P. Hecht, A. Ilmanen, Thomas Maloney, Nicholas McQuinn
{"title":"变化中的股票-债券相关性:驱动因素和影响","authors":"Alfie Brixton, J. Brooks, P. Hecht, A. Ilmanen, Thomas Maloney, Nicholas McQuinn","doi":"10.3905/jpm.2023.1.459","DOIUrl":null,"url":null,"abstract":"The relationship between stock and bond returns is a fundamental determinant of risk in traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation was consistently negative and investors were largely able to rely on their bond investments for protection when equities sold off. But this was not the case in the previous century, and macroeconomic changes—such as higher inflation uncertainty—could lead to a reappearance of the positive stock–bond correlation of the 1970s, 80s, and 90s. This would have broad implications for investors, either increasing portfolio risk or forcing allocation changes likely to reduce expected returns. This article analyzes the implications for investors of a change in this “golden parameter” and presents a simple macroeconomic model to help understand its drivers, supported by international empirical evidence. Finally, it explores the role of alternatives in making up the potential diversification deficit in a positive stock–bond correlation world.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"64 - 80"},"PeriodicalIF":1.1000,"publicationDate":"2023-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Changing Stock–Bond Correlation: Drivers and Implications\",\"authors\":\"Alfie Brixton, J. Brooks, P. Hecht, A. Ilmanen, Thomas Maloney, Nicholas McQuinn\",\"doi\":\"10.3905/jpm.2023.1.459\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The relationship between stock and bond returns is a fundamental determinant of risk in traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation was consistently negative and investors were largely able to rely on their bond investments for protection when equities sold off. But this was not the case in the previous century, and macroeconomic changes—such as higher inflation uncertainty—could lead to a reappearance of the positive stock–bond correlation of the 1970s, 80s, and 90s. This would have broad implications for investors, either increasing portfolio risk or forcing allocation changes likely to reduce expected returns. This article analyzes the implications for investors of a change in this “golden parameter” and presents a simple macroeconomic model to help understand its drivers, supported by international empirical evidence. Finally, it explores the role of alternatives in making up the potential diversification deficit in a positive stock–bond correlation world.\",\"PeriodicalId\":53670,\"journal\":{\"name\":\"Journal of Portfolio Management\",\"volume\":\"49 1\",\"pages\":\"64 - 80\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-01-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Portfolio Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.3905/jpm.2023.1.459\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.459","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 1

摘要

在传统投资组合中,股票和债券回报之间的关系是决定风险的基本因素。在21世纪的头20年里,股票与债券的相关性一直是负的,当股票被抛售时,投资者基本上能够依靠债券投资来保护自己。但上个世纪的情况并非如此,宏观经济的变化——比如更高的通胀不确定性——可能导致20世纪70年代、80年代和90年代股票-债券正相关性的重现。这将对投资者产生广泛影响,要么增加投资组合风险,要么迫使资产配置发生变化,可能降低预期回报。本文分析了这一“黄金参数”变化对投资者的影响,并提出了一个简单的宏观经济模型,以帮助理解其驱动因素,并得到国际经验证据的支持。最后,本文探讨了在股票-债券正相关的情况下,期权在弥补潜在多元化赤字方面的作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
A Changing Stock–Bond Correlation: Drivers and Implications
The relationship between stock and bond returns is a fundamental determinant of risk in traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation was consistently negative and investors were largely able to rely on their bond investments for protection when equities sold off. But this was not the case in the previous century, and macroeconomic changes—such as higher inflation uncertainty—could lead to a reappearance of the positive stock–bond correlation of the 1970s, 80s, and 90s. This would have broad implications for investors, either increasing portfolio risk or forcing allocation changes likely to reduce expected returns. This article analyzes the implications for investors of a change in this “golden parameter” and presents a simple macroeconomic model to help understand its drivers, supported by international empirical evidence. Finally, it explores the role of alternatives in making up the potential diversification deficit in a positive stock–bond correlation world.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Journal of Portfolio Management
Journal of Portfolio Management Economics, Econometrics and Finance-Finance
CiteScore
2.20
自引率
28.60%
发文量
113
期刊介绍: Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.
期刊最新文献
Fixed Income Factors: Theory and Practice Peer Group Identification in Factor Portfolios: A Data-Driven Approach Factor Investing for Taxable Investors Return–Risk Analysis of Real Estate Tokens: An Asset Class of Its Own Sustainability Disclosure and Financial Performance: The Case of Private and Public Real Estate
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1