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Stock / bond correlations top of mind for Wisconsin

Amanda White

May 24, 2024

The State of Wisconsin Investment Board is incorpo
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Asset Owner:State of Wisconsin Investment Board (SWIB)
  1. Garth Flannery

    This is a good paper for explaining contemporaneous stock bond correlation. As the SWIB paper mentions, the prospect of predicting the stock bond correlation is left for future research. We have a paper that addresses prediction (3 month forward horizon), under review by the FAJ and presented in the July 2023 JPM Quant Conference. It is on SSRN, called “A Changing Stock-Bond Correlation: Explaining Short-Term Fluctuations”.

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