Bonds and Equities Are Syncing Back Up Again [CHARTS]

1
Bonds and Equities Are Syncing Back Up Again [CHARTS]

On 11/4/16, the 65-day correlation between between the S&P 500 and US 10-year treasury yields was as negative as it had been at anytime since June 2007. The 65-day rolling correlation was -30% compared to a 73% correlation that had occurred just a few months earlier in June. The negative relationship seems to be short lived as the 65-day correlation is once again moving positive as it is currently 24% and the 22-day correlation is now at 50%. The 120-day correlation remains at 0% but will begin trending higher as indicated by the shorter-term correlations. It is worth remembering that the longer term correlation between stocks and bonds flipped after the Asia crisis in the late 1990s. Stocks and bonds were negatively correlated from 1966 to 1998 and since then have been positively correlated as deflation has become a more prominent fear than inflation generally speaking. The four year correlation stands at 30% today and while it is well off the highs of the last several years, the last chart indicates that it is still at an unusually high level since 1875.

clost

clost

Seth Klarman’s Foundation Invested In These Three Hedge Funds

Seth KlarmanMany well-known hedge fund managers are also philanthropists, and many of them have their own foundations. Seth Klarman of Baupost is one of those with his own foundation, and he invested in a handful of hedge funds through his foundation. This list of Klarman's favorite hedge funds is based on the Klarman Family Foundation's 990 Read More

clost

Sign up for reports from Gavekal Capital

Updated on

No posts to display