Stock-Bond Correlation
Discover the evolution of developed market stock-bond correlations, their macroeconomic drivers, and how correlation impacts optimal portfolio construction.
The Institutional Advisory & Solutions (IAS) team conducts client research that focuses on asset allocation, portfolio construction, real assets, and manager allocation & selection.
Discover the evolution of developed market stock-bond correlations, their macroeconomic drivers, and how correlation impacts optimal portfolio construction.
Explore the benefits of real assets in addressing investors’ portfolio construction and asset allocation challenges.
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The long-term benefits of creating a Chief Liquidity Officer role are probably worth the effort.
What does a positive correlation between stocks and bonds mean for the future of portfolio construction?
We estimate the real-world performance of a private strategy – different vs. the reported performance – and fairly compare it with that of a public strategy.
Liquidity risk can be more severe than volatility risk. Funds may need a designated chief liquidity officer for integrated liquidity management.
A framework to help CIOs determine the appropriate allocation of illiquid infrastructure investments.
While simultaneous large declines in stock and bond prices are likely temporary, a positive stock-bond correlation regime may persist.
Stock-bond correlations are highly synchronized. A shift to positive correlation, driven by US policy settings, would likely be widespread.
A shift to positive stock-bond correlation affects the tradeoff between portfolio expected return and risk.
Be wary of economic growth sensitivities in your real asset portfolios if the economic environment were to be stagflationary.
There are four elements to successful real assets investing: sensitivities, investment horizon, estimation uncertainty and economic outlook.
What is the role of gold in an institutional portfolio? Inflation hedge? Growth hedge? Diversifier? What does the evidence show?
Do high active risk equity portfolio managers realize a higher (or lower) IR compared to low active risk managers?
Using the IAS fair comparison framework, this publication explores the impact of choices an investor in private markets must make.
Introducing the Manager Allocation Programming (MAP) tool to help CIOs efficiently combine managers of different strategies.
IAS’ original MBA-style case studies designed to address challenges from the perspective of an institutional CIO, such as liquidity risk with allocations to illiquid private assets, performance and liquidity tradeoffs in the portfolio and overall asset allocation decisions.
By Dr. Michelle (Yu) Teng
Vice President
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Vice President
Co-Head of Private Assets Research Program
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Vice President
Co-Head of Private Assets Research Program
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Managing Director
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Senior Associate
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Managing Director,
Head of IAS
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PGIM does not establish or operate pension plans.