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Discuss and Research Stocks 美股美国股票投资交易研究

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One-year correlation between stock and bond returns is now at its most positive of the century, reverting back to levels observed during the 1980s and 1990s. Using daily data since 1982, the average 1y Sharpe ratio of 60/40 has been 1.10, with a slightly higher median. Using monthly data since 1974, 60/40 has offered up an even higher Sharpe, with an average and median just above 1.22. Parsing the returns of periods comparable to the current one, meanwhile, suggests a lower risk-adjusted return -- 0.71 on both an average and median basis.