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Our analysis suggests that the benefits of government bonds as diversifiers of equity risk have been weakening in recent years, as evidenced by higher correlations of government bonds to equity prices. Moreover, although bond yields have recently been rising, they remain very low by historical standards. This implies that the expected return hurdle for investing in alternative hedges to equity risk is lower than in the past. We believe investors seeking diversification to equity risk should consider alternative strategies as complements to, or even substitutes for, traditional government bond allocations.
2017 Feb - Wellington - Do Bonds Diversify Equity Risk.pdf
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