Tuesday 1 March 2022

Is 60:40 a dead parrot? Or just resting?

 Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions.

Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own data)

Jorda et al “The rate of return on everything” QJE 2019

One year rolling correlation of S&P 500 and US 10 year bond daily % returns (Source; Authors own data)

US inflation rate https://tradingeconomics.com/

Source: https://www.currentmarketvaluation.com/

US 10 year interes rates. Source: tradingeconomics.com

And finally, for those who didn't get the Monty Python reference:

Footnote: The computing language, python, in which my trading system is written was named after Monty Python not the snake. Hence a certain publishing company that likes putting animmals on the front of their IT reference books might consider replacing the snake with a parrot...