Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 25

 Investors rely on the stock–bond correlation to construct optimal portfolios and to assess risk.

 Investors should care less about how stocks and bonds co-move from month to month as they do about their co-movement over the duration of their investment horizon.

 The most common approach to estimating the longer-term correlation of stocks and bonds is to extrapolate the correlation of monthly returns over a prior period. This approach is decidedly unreliable, because the autocorrelations and lagged cross-correlations of stock and bond returns are nonzero.

 As an alternative, investors may consider estimating the stock–bond correlation from longer-horizon returns, but this approach is unreliable because the stock–bond correlation varies over time.

 To address these problems, this chapter introduces the notion of a single-period correlation that measures the extent to which stock and bond returns move synchronously or drift apart over the course of the investment horizon.

 In addition, this chapter introduces several fundamental variables to predict the longer-horizon stock–bond correlation, some of which are expressed as paths rather than as single-period average values.

 This chapter also describes how to filter historical observations for their historical relevance, as discussed more fully in Chapter 13.

 Together, these innovations significantly improve the reliability of the forecast of the stock–bond correlation.