Can Bonds Still Diversify Multi-Asset Portfolios? Income versus Duration in Distinct Correlation Regimes
研究了1962年至2025年间美国国债收益率的时变相关性，发现三种相关制度（负相关、零相关、正相关），并表明根据制度动态调整组合配置能显著提升收益并控制风险。
The authors analyze the diversification benefits of fixed-income instruments under time-varying correlations. They estimate monthly, non-overlapping correlations from daily 10-year Treasury bond returns over the period January 1962 through April 2025. With these data, they use a hidden Markov model to identify three distinct correlation regimes—negative, zero, and positive. These regimes are highly persistent and differ in their diversification value depending on the importance of income versus duration as drivers of bond returns. Dynamically altering the mix of multi-asset portfolio allocations based on the most likely correlation regime materially improves returns while controlling risk.