This is a summary of links featured on Quantocracy on Monday, 04/05/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Estimating the Stock-Bond Correlation [Alpha Architect]The correlation between stock and bond returns is an integral component of hedging strategies, risk assessment, and minimization of risk in allocation decisions. In the context of those strategies, the stock-bond correlation is typically estimated using monthly return data over a recent previous period. This is a reasonable approach but has turned out to be an unreliable indicator for forecasting