Regime Change in Daily Correlation Stocks, from Kim Zussman
The day-to-day changes in SPY (SP500) and TLT (20+yr Treasury ETF) was checked every 20 days (non-overlapping) for correlation. The attached plots correlation every 20D over time, 2002-present.
There is considerable variation, and two apparent regimes:
~7/03-6/07 with correlation varying around zero 6/07-present, with correlation bobbing around -0.5.
Is a high stock/bond risk dichotomy healthier?
