Jul

10

Bonds are traditionally considered safe, but they have become a bit dicey last month. I calculated the 20 day historical volatility using adjusted 30 year bond futures and sp500 futures from July-2003 to June 2013. Roughly 75% of the time stocks are more volatile, and 25% of the time bond volatility is higher.  The most recent occurrence when bond vol was greater was in late May to mid June.  Looking just at the period from June 2010 to present, S&P returns were normal, while bond returns were negative during these episodes.

Alex Castaldo adds:

Probably not a coincidence that at this time 'A Big Risk Parity fund is under the weather ' according to a Reuters story from late June.


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