📊 Asset Correlations

Treasuries vs corporate bonds

intermediate Treasuries · investment-grade corporates — 0.59, ranging +0.04 to +0.95 year by year

• +0.59normally
• +0.27in crashes
• +0.04 ~ +0.951-year range
• 1.24positions if held 50/50

Nothing surprising, and that is the answer

They correlate 0.59, and +0.27 in crashes — not much of a change.

The one-year correlation does range +0.04 to +0.95, so the curve tells you more than the average.

Try it on your own portfolio

Opens with these two already entered. Add what you hold and the vs the rest and New columns answer whether to add one more.

Weekly returns, 611 weeks since 2015, every price converted to USD. “Crashes” means the 5% of weeks intermediate Treasuries fell hardest. One sample, one window — not a promise about the future.