Portfolio volatility reduction for different stock/bond correlations between -1 and 1. The maximum diversification benefit occurs when the asset classes are weighted inversely to their volatilities. I think this result is only meaningful assuming equal Sharpe ratios of the individual assets. This diagram is of course based on a theoretical model.
The article https://privatebank.barclays.com/insigh ... ing-point/ further analyzes the attribution of stock/bond correlation.
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The article https://privatebank.barclays.com/insigh ... ing-point/ further analyzes the attribution of stock/bond correlation.
Statistics: Posted by comeinvest — Tue Sep 10, 2024 1:52 am — Replies 3219 — Views 742490