3 ms·

Is there similar data for longer periods of time? Seems like it be interesting to see that correlation in periods that include some recessions or am I completel

• roymurdock 11y ago
  Figure 2 illustrates five-year correlations between monthly U.S. stock and U.S. bond total returns over five-year intervals since 1926 (17 distinct, nonoverlapping periods). While the long-term average correlation between these two asset classes has been 0.25, the figure shows that correlations over shorter windows vary widely from this average, with a range of 0.72 for the five years ended 1975 to –0.54 for the five years ended 2005. http://www.vanguard.com/pdf/s130.pdf http://www.vanguard.com/pdf/s130.pdf