Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Asset Allocation in a Lower Stock-Bond Correlation Environment

Frederick E. Dopfel
The Journal of Portfolio Management Fall 2003, 30 (1) 25-38; DOI: https://doi.org/10.3905/jpm.2003.319917
Frederick E. Dopfel
A managing director and senior strategist with the Client Advisory Group at Barclays Global Investors in San Francisco (CA 94105).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: fred.dopfel@barclaysglobal.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

The correlation between stock and bond returns plays a critical role in asset allocation decisions and in the effectiveness of stock-bond diversification in reducing portfolio risk. During the last few years, the realized stock-bond correlation has trended lower than historical norms, and the current 36-month rolling estimate is significantly negative, while most analysts still assume a moderately positive equilibrium estimate for expected correlation. Many investors are now questioning their assumptions about correlation and whether lower correlation will continue. This decoupling of stock and bond returns combined with aggressive asset allocation strategies has contributed to deterioration in pension plan funded ratios, producing unfavorable impacts for investors with an economic liability. The various strategic and tactical asset allocation issues related to a continued low correlation environment have an impact on investor welfare in an asset-only and an asset-liability framework. For investors, low stock-bond correlation is beneficial in an asset-only context, but detrimental in the case of a bond-like liability, especially if there is significant underfunding of the liability.

  • © 2003 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 30, Issue 1
Fall 2003
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Asset Allocation in a Lower Stock-Bond Correlation Environment
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Asset Allocation in a Lower Stock-Bond Correlation Environment
Frederick E. Dopfel
The Journal of Portfolio Management Oct 2003, 30 (1) 25-38; DOI: 10.3905/jpm.2003.319917

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Asset Allocation in a Lower Stock-Bond Correlation Environment
Frederick E. Dopfel
The Journal of Portfolio Management Oct 2003, 30 (1) 25-38; DOI: 10.3905/jpm.2003.319917
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Are Long-Duration Treasuries the Best Hedge for Equities?
  • The Diversification Delta: A Different Perspective
  • Stock-Bond Correlation and Duration Risk Allocation
  • The Diversification Delta: A Higher-Moment * Measure for Portfolio Diversification
  • Google Scholar

More in this TOC Section

  • If You Had Everything Computationally…
  • Corporate Bond Portfolio Analysis
  • The Symmetric Downside-Risk Sharpe Ratio
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies