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Grappling with the new reality of zero bond yields
Finanza e mercati finanziari internazionali
Università degli Studi di Torino
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Anteprima del testo
Grappling with the New Reality of
Zero Bond Yields Virtually Everywhere
JULY 2020
Part 1:
The Facts and the Implications
JULY 13, 2020
####### BOB PRINCE
####### GREG JENSEN
####### MELISSA SAPHIER
USA Nominal 10yr Bond Yield
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
1800 1820 1840 1860 1880 1900 1920 1940 1960 1980 2000 2020
The Uniqueness of a Zero Bond Yield and No Risk
Premium/Yield Curve Slope versus Cash
####### Not only is the bond yield lower than ever, this is the first time it’s been low with a flat yield curve. For example, in 2009
####### when the short-term interest rate was zero, the yield curve slope was about 3%, and in 1933 when short rates were zero
####### and the Fed started printing, the bond yield was 3%. So in those cases, even though yields were low and the long-
####### term expected return of holding bonds was similarly low, the potential for excess returns in leveraged bonds was very
####### high due to the implied rise in bond yields as ref lected in those steep yield curves and the long duration of the bonds.
####### Today, we have long durations but little or no rise priced in, little or no risk premium versus cash, and obviously a low
####### expected total return of holding those bonds.
Long Rate Short Rate
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 2020
####### For additional perspective, the table below shows bond returns during a couple periods of zero short-term
####### interest rates as well as projections based on today’s pricing. In past cases, there was a chance to accrue a
####### higher starting forward yield and to benefit as yields gradually drifted down. Today, we have a lower starting
####### point and less opportunity for yields to decline relative to what is discounted to further boost returns. Below,
####### we show returns over the next three years if yields were to fall to zero or all the way to an extreme of -1%.
1934–1947 End of 2008 t o To d ay
Next 3 Years If Rates Fall to 0%
Next 3 Years If Rates Fall to -1%
Short Rate at Start of Period 0% 0% 0% 0% Total Annualized Returns 4% 4% 2% 5% Starting Yield 3% 2% 0% 0% Impact of Yield Changes 1% 1% 1% 4%
####### While one can’t say for sure how low yields could go, the obvious limitation is that at a certain level, cash
####### hoarding becomes a more attractive alternative. Given the frictions between the central bank policy rate and
####### the rates facing other borrowers and lenders (we would guess around -1%), policy rates would be unlikely to
####### trigger a move to cash in most countries. Below that point, it becomes less clear. And at least for now, central
####### bankers across the world have expressed growing hesitancy about further use of negative rates as a policy tool,
####### in particular focusing on the potential adverse effects for the banking system, which could weaken the efficacy
####### of such policies.
####### What are the asymmetries in the range of potential bond returns in this environment?
####### With limited room for yields to fall and no limit on how much they can rise, the distribution of potential
####### returns for bonds and rates is adversely skewed. Of course, looking back there are underlying secular forces
####### that have pulled yields down, and in practice, how yields evolve from here will depend on how economic
####### conditions unfold, how policy makers respond, and how that impacts investor preferences. Considering the
####### range of outcomes looking out over the next three years, a “best case” bond rally to -1% would bring bond
####### returns to a cumulative 17%. Whereas if we were to see real yields return to their long-term average (a little
####### over 2%) and a moderate rise in inflation to 4%, that would produce about -30% returns over the three years.
17% 7% 3%
-19% -31% -40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Yields Fall to -1% (Lowest Yield Globally)
Yields Fall to Zero Yields Don’t Move LT Avg RY + Current BEI
LT Avg RY + 4% BEI
USA Nominal Bond Cumulative Total Returns over 3 Years in Different Scenarios
####### Normally when economic conditions are deteriorating and equities are falling, a bottom is formed when the
####### central bank steps in and provides enough easing to offset these negative pressures. This supports equities
####### in two ways: the support to the economy helps stabilize earnings prospects, and the declining discount rate
####### pushes up the present value of future earnings. Looking across the US bear markets of the past several decades
####### in the chart below, you can see how falling rates provided a cushion, especially when the Fed stepped in to
####### offset the more extreme cases. Allowing for a duration of perhaps 7 to 10 years, you can ballpark the price
####### impact of the decline in yields.
USA Equity Drawdowns Larger Than 20% since 1925 Max Decline in Interest Rates Period Equity Drawdown Short Rates Long Rates 1929–1945 -84% -4% -2% 2007–2012 -52% -3% -2% 2000–2006 -46% -5% -2% 1973–1976 -43% -4% -0% 2020 -34% -1% -0% 1987–1989 -29% -0% -1% 1968–1971 -29% -5% -2% 1962–1963 -22% 0% -0% 1946–1949 -22% -0% -0% Average -40% -2% -1%
####### For the economy and earnings, how does this impact the ability to cushion or pull out of a downturn?
####### In prior downturns, the Fed helped arrest the downturn and engineered a recovery by lowering rates an
####### average of 500bps. And in the financial crisis when they ran out of room to lower short rates, 500bps plus QE
####### helped lower longer-term yields. Now, with that room depleted, the task before policy makers is much tougher
####### and requires new policy tools, which we’ll discuss in depth in Part 2 of this series.
Fed Tightening Cycles Fed Funds Rate Easing Tightening
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 2020
Fed Funds Rates* Low Date Nominal Change
Period (in months)
% Change High Date
3% Oct-19 1% 14 49% 5% Dec- -3% 43 -67% 1% Jul-24 2% 64 150% 4% Nov- -4% 34 -100% 0% Sep-32 2% 251 — 2% Aug- -1% 10 -69% 0% Jun-54 2% 40 452% 3% Oct- -2% 8 -75% 0% Jun-58 3% 18 419% 4% Dec- -2% 19 -50% 2% Jul-61 3% 62 146% 5% Sep- -2% 9 -40% 3% Jun-67 4% 30 143% 8% Dec- -4% 26 -50% 4% Feb-72 7% 28 175% 11% Jun- -6% 30 -57% 4% Dec-76 11% 39 247% 16% Mar- -5% 5 -33% 11% Apr-80 8% 9 73% 19% May- -11% 18 -58% 8% Nov-82 3% 21 43% 11% Sep- -5% 26 -49% 5% Oct-86 3% 31 66% 9% May- -6% 40 -69% 3% Sep-92 3% 99 117% 6% Dec- -5% 30 -85% 1% Jun-03 4% 50 425% 5% Aug- -5% 100 -100% 0–0% Dec-15 2% 43 — 2% Jul- -2% 7 -100%
- Prior to 1975, T-bills used as proxy for Fed funds target rate
Avg Increase 4% 53 Range of Increases 1% to 11% 9 to 251 Avg Decrease -4% 27 Range of Decreases -11% to -1% 5 to 100
© 2020 Bridgewater Associates, LP
Part 2:
Achieving Balance in a
“Monetary Policy 3” World
JULY 14, 2020
####### GREG JENSEN
####### BOB PRINCE
© 2020 Bridgewater Associates, LP
I
n Part 1 of this series, we laid out the problem that 0% bond yields
presents for all investors. In Part 2, we explore how we are approaching
this challenge in our own balanced portfolios; in Part 3 to follow, we
will approach the issue from the perspective of more traditional portfolios,
exploring more incremental steps toward improving diversification and
reducing portfolio vulnerabilities.
####### In terms of building a balanced strategic asset allocation, it is pretty obvious that with interest rates near zero
####### and being held stable by central banks, bonds can provide neither returns nor risk reduction. It is also true that
####### policy makers have had to move on in terms of their tools for dealing with downturns. Instead of interest rate
####### cuts, policy has moved to MP3 (i., the coordination of monetary and fiscal policy). Understanding the nature
####### of MP3 and how it will affect different asset classes allows us to logically balance assets for an MP3 world.
####### While the loss of nominal bonds as a source of return and diversification is a big deal for most asset allocations,
####### our balanced approach to beta has never been about a particular asset allocation, nor has it ever been reliant
####### on any particular asset class. Rather, it is an approach to getting the most out of the full menu of assets that are
####### available. Near-zero interest rates changes the menu of choices that one has available; it doesn’t change the
####### principles of asset pricing and balance. The two key building blocks of balance for us are:
####### 1. Select assets that will outperform cash over time;
####### 2. Diversify those assets based on how they will react to future economic scenarios.
####### As long as you can achieve 1 and 2, “balanced beta” is achievable, and we expect it will likely offer superior risk-
####### adjusted returns compared to typical portfolios. We believe we can achieve these conditions going forward by
####### taking the following steps:
- First, we are moving into alternatives to nominal bonds that we believe can balance equity risk in
####### an MP3 world. In an MP3 world, policy makers will respond to a downturn through coordinated
####### monetary and fiscal policy—putting money to work in the real economy, financed by money printing.
####### If this does not succeed in ref lating equities, logically we would expect this printed money to end up in
####### inf lation-hedge assets like inf lation-linked bonds and gold. This has been borne out by our historical
####### studies of ref lations across time and economies. So while we continue to hold nominal bonds in markets
####### where there is potential room for one more bond rally, we are increasingly using these inf lation-hedge
####### assets as well to get balance where we previously would have used nominal bonds.
- Second, we are bolstering our geographic diversification. The price of any asset, of any type, can be
####### thought of as a stream of future cash f lows discounted by a rate that includes the risk-free discount
####### rate (the expected return of cash) and a risk premium. In a world in which risk-free discount rates
####### are relatively stable, diversification of risk premiums and cash f lows themselves takes on heightened
####### importance. Cross-asset diversification can help with the cash f lows, but assets within a region
####### and, more generally, with similar investor bases tend to have highly related risk premiums, so
####### historically it has been a challenge to diversify this risk. With the opening up of markets in China
####### and the surrounding Asia bloc, a third pole of global importance comparable to the US and Europe
####### has become available as a source of diversification. Different economic conditions, independent
####### monetary policy, and distinct savings patterns mean risk premiums and cash f lows in this third pole
####### are lowly related to those in the developed world. Geographic diversification will likely be both more
####### impactful and more needed going forward than it has been in recent decades, given the potential for
####### de-globalization and increased fragmentation, if not outright conf lict.
There is no guarantee expected performance can or will be achieved.
####### The end of the prior policy paradigm and the shift to MP3 occurred in two steps: 1) the shift away from
####### preemptive tightening following the Fed’s 2018 tightening; and 2) the exhaustion of interest rates and QE
####### and the shift to coordinated monetary and fiscal policy in response to the global pandemic. It’s noteworthy
####### that even with the 2008 shift toward QE, the inflation-fighting mentality of the Volcker era was still in the
####### background until very recently, with the Fed raising rates at the end of 2018 based on cyclical conditions.
####### We think that was the last preemptive tightening we will see for some time. Given the outsize impact that
####### tightening had on the economy and assets, central banks very quickly changed their tune, with every major
####### developed world central bank making it clear that they will wait for substantially higher-than-target inflation
####### for a significant period before tightening policy. 2019 was then a transition year, with no more preemptive
####### tightening but some small room left in MP1 and MP2. The virus shock required central banks to spend that
####### remaining fuel essentially all at once, with the need for direct fiscal stimulus at the same time as “whatever it
####### takes”/unlimited QE signaling the dawn of MP3.
1940s US Wartime Policy Helps Illustrate MP3 Mechanics: Pegged Yields;
Reflation Through Money Printing and Fiscal; Inflation Much Higher Than
Bond Yields
####### We are still early in the MP3 era, with many open questions about what form it will take and a high likelihood
####### it will evolve over time through experimentation. But the yield curve targeting environment of the 1940s in the
####### US is a good case study on what such policies can look like. The period has rather striking parallels to present
####### circumstances—the end of a long-term debt cycle, a relatively modest cyclical tightening leading to a big
####### economic and market decline, an abrupt policy reversal, and then the need for a new form of policy to finance
####### a massive fiscal expansion once interest rates and QE have been exhausted. And as described in our June 23
####### research, the Fed is explicitly considering yield curve targeting, with many market participants expecting the
####### Fed to announce a front-end target later in the year.
####### In the aftermath of the Great Depression and after a tightening of monetary and fiscal policy in 1937 that led
####### to a collapse in growth and equities, the US pinned yields at low levels and printed significant quantities of
####### money to fund the growing wartime fiscal deficit. You can see both how bonds behaved and how stimulation
####### worked during this period of “wartime MP3” in the charts below. Short rates were kept near zero and long
####### rates were pegged slightly higher to maintain a fairly steep yield curve (to ensure a low but steady return to
####### bondholders). But rates did not move at all with cyclical conditions (growth and inflation), meaning bonds
####### would have provided no diversification benefit. Rather, the Fed expanded and contracted the monetary base to
####### manage the cycle, with a big upward trend to finance the deficit. Notably, inflation rose significantly above the
####### bond yield in the early and then late ‘40s, well into double digits, which had the beneficial effect of inflating
####### away nominal debts.
Government Spending Total (%GDP) of which Direct Spending
1930s–1940s
0%
5%
10%
15%
20%
25%
30%
35%
40%
30 40 50 60 70 80
New Deal
WWII Monetized fiscal expansion
Interest Rates Monetary Base (%GDP)
6%
8%
10%
12%
14%
16%
18%
0%
1%
2%
3%
4%
5%
6%
7%
25 30 35 40 45
Money supply becomes the monetary lever
Pegged short rate
Bond Yield Growth
-20%
-10%
0%
10%
20%
30%
35 37 39 41 43 45 47
Pegged long rate, volatile growth
Bond Yield Inflation
-5%
0%
5%
10%
15%
20%
25%
30%
35 37 39 41 43 45 47
Pegged long rate, volatile inflation
Inflation much higher than bond yield
####### While MP3 in today’s world might look significantly different than how policy makers managed the ‘40s,
####### the basic elements of highly managed and near-zero rates, money printing to fund fiscal deficits, and higher
####### inflation being tolerated if not desired given high debt levels are very likely going forward. And some have
####### argued explicitly that exceptional “wartime” policies like what we saw in the ‘40s are called for in the face of
####### the ongoing threat posed by the pandemic.
Balancing Successful Reflation and Stagflation
####### The question then becomes what can provide balance in an MP3 world if it won’t be nominal bonds. In an MP
####### world, in the event of a downturn, central banks and fiscal authorities will try to reflate by printing money and
####### spending it in the real economy. This has already happened in response to the pandemic shock, and there will
####### be more of it as necessary. These periods can be great for assets generally (at least in nominal terms) if policy
####### results in a recovery in economic conditions and the production of money that would earn nothing sitting in
####### cash makes its way into assets (call it “successful reflation”). But stimulation can also result in stagflation—
####### weak growth and higher inflation—in the event that economic conditions remain weak but printed money
####### results in higher inflation. In an MP3 world, these are key scenarios to balance: successful reflation versus
####### stagflation. In the stagflation scenario, equities tend to underperform, but inflation-hedge assets like inflation-
####### linked bonds and gold tend to outperform and therefore provide balance. This is logical, and it is borne out by
####### our studies of past reflations, where we have looked as far back as 1800 to study 127 cases of market panics and
####### reflations across 39 economies.
####### The circumstances that tend to produce the need for reflations typically involve high debt levels,
####### and policy makers have an incentive to lower real debt burdens by lowering real yields, often by
####### generating inflation, as in the ’40s “wartime MP3” case discussed above. Falling real yields cause IL
####### bonds to outperform, and as inflation accrues, it also supports IL bond returns, as IL bonds will pay
####### out that actual inflation.
- In terms of gold: we think of gold as a contra-currency and storehold of wealth whose value tends to
####### increase when fiat currencies are being debased (i., monetary inf lation). As central banks ref late and
####### the forward value of cash falls, investors look elsewhere for a storehold for their wealth, and gold has
####### always served this role to a significant degree, as it has a constrained supply and cannot be printed.
####### As three examples of this dynamic, below we show the performance of gold versus fiat currencies in
####### the Great Depression, the financial crisis, and the past several years. In these periods of stimulative/
####### reflationary policy, gold performed well against all fiat currencies (and flat against the Reichsmark,
####### which was pegged to gold).
Gold vs Fiat Currency in the Great Depression, the Financial Crisis, and Today
-50%
0%
50%
100%
150%
200%
29 31 33
Indexed to 1929 USD DEM JPY GBP
Indexed to Sep 2018 USD EUR JPY GBP
0%
20%
40%
60%
Sep-18 Mar-19 Sep-19 Mar-
Indexed to 2008 USD EUR JPY GBP
-30%
0%
30%
60%
90%
120%
150%
08 10 12
####### Inflation-linked bonds and gold are just two examples of inflation-hedge assets that we would expect to
####### provide balance in an MP3 world and that we are using given their liquidity and ease of implementation—the
####### broader and more important point is to get balance to the reflationary versus stagflationary outcomes. And
####### the same logic that favors IL bonds and gold as balancers would apply to other assets as well. For example,
####### breakeven inflation itself would likely be a good diversifier in an MP3 world—i., long an IL bond and short a
####### nominal bond of the same duration—with the downside being that it does not offer a risk premium over time
####### (so in that respect it is more similar to gold than IL bonds in being more of a pure hedge). Similar logic would
####### also apply to some degree to any asset that has inflation-sensitive cash flows, e., real assets of many forms.
####### Any investor can examine the menu of choices they have available to them and apply these concepts to make
####### the most out of that menu.
Stress Testing IL Bonds and Gold Through a Range of Potential Outcomes
####### To help illustrate the balancing role that IL bonds and gold can play, we consider a range of scenarios broadly
####### indicative of the paths that the world could plausibly take given the secular forces and the recent pandemic
####### shock. These range from an inflationary spiral on one extreme to a deflationary depression on the other, and
####### everything in between. From a beta perspective, our goal is not to predict which scenario is most likely and bet
####### on it, but rather to ensure tolerable outcomes across as many scenarios as possible.
Examining Case Studies Reflective of...
Monetary and Fiscal Stimulation UK 70–79: Rising fiscal, pro-labor policies, labor malaise, stagflation
US 40–51: Massive fiscal on military, coordinated with MP, yield curve targeting, rising inflation UK 47–59: Beautiful deleveraging, MP allowing inflation, coordinated with fiscal policy
US 71–79: Nixonomics, fiscal coordinated with MP, price controls, oil shocks, stagflation
US/UK 08–12:Timely monetary and fiscal stimulation, beautiful deleveraging
US 29–33: Great Depression, deflationary deleveraging before FDR breaks peg to gold in 1933
Deflationary Depression
Loss of confidence in the currency, massive inflation, and real wealth destruction (e., Weimar Republic ’18–’25, Argentina ’80–’88)
Inflationary Spiral
US 36–39: In deleveraging, policy makers tightened a bit too much through monetary and fiscal JP/EU 08–12:Slower to stimulate in response to GFC, recovery significantly lagged the US/UK JP 94–03: Ineffective central bank post-bubble popping, entrance into deflation, depression
Insufficient/Ineffective Policy Making
Nominal GDP Growth Cross-currents: Secular Deleveraging Forces +COVID19Shock
Policy Responses
?
?
####### If you look at asset performance across these scenarios (scaled to the same 10% risk level to make comparisons
####### apples to apples), it’s evident that a mix of IL bonds and gold tends to do well when equities don’t. In particular,
####### equities don’t do well when stimulation results in stagflation (the top two cases)—nor do nominal bonds—but
####### IL bonds and gold both do well. Equities also underperform when there is too little stimulation relative to
####### what is required (lower group of four cases), and so long as this results in a downturn but not an outright
####### depression, IL bonds do well and gold is flat to up. In the successful reflation cases (upper group of four cases),
####### all assets tend to do well. In an outright deflationary depression, only nominal bonds have the potential to do
####### well, though given current yield levels their upside would be highly limited in such a case today. We also show
####### a 60/40 portfolio as well as a balanced portfolio without nominal bonds that is risk-balanced between equities
####### and IL bonds plus gold. Even without nominal bonds, the balanced portfolio outperforms in every case except
####### for the deflationary depression, in which the performance of the two portfolios is similar, with a 500bps+
####### higher return on average. We also show the average of the worst drawdown within each period, which is again
####### materially better for the balanced portfolio (-22% versus -29%).
The Tri-Polar World and the Increased Potential and Need
for Geographic Diversification
####### Another important element of our approach to balance in this environment is geographic diversification,
####### which we believe is taking on heightened urgency. For some time, we have spoken of the increasingly “tri-
####### polar” world, with the US, Europe, and China of comparable global importance at this point and therefore
####### deserving of much more similar weight in portfolios than they typically have had. Each pole has a distinct role:
####### Europe is the largest exporter of capital, the US remains the primary reserve currency and therefore primary
####### source of funding, and China contributes the most to global growth.
Share of Cross-Border Banking Liabilities by Currency
US Dollar Remains the Primary Reserve Currency
0%
10%
20%
30%
40%
50%
60%
70%
80%
USA EUR CNY
Contribution to Global Growth
China Contributes the Most to Global Growth
0%
0%
1%
1%
USA EUR CHN
Share of Global Financial Outflows
Europe Is the Largest Exporter of Capital
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
USA EUR CHN
####### These differences call for diversification, and the zero-interest-rate environment only strengthens the case. In
####### a world in which risk-free discount rates are relatively stable, diversification of risk premiums and cash flows
####### takes on more importance, and geographic diversification offers a way there. In particular, the China/Asia-
####### bloc pole offers risk premiums and cash flows that are lowly related to those in the developed world, and these
####### markets are now open to global investors. It is rare to have large, scalable, lowly correlated assets come along
####### in this way. And while the Asia bloc offers diversifying risk premiums and cash flows, it’s also worth noting
####### that Chinese bonds are one of the only remaining nominal bond markets in the world where yields have some
####### room to fall. So, to take advantage of what little does remain in nominal bonds, we have increasingly shifted
####### into Chinese bonds as developed world bonds have fallen to zero.
####### Beyond the argument just from asset mechanics, the global pandemic has in many ways accelerated underlying
####### pressures toward de-globalization, and fragmentation could make global diversification both more impactful
####### and more needed than it has been in recent decades. The virus has already resulted in quite different policy
####### responses across the three poles, both in terms of the direct handling of the virus and the monetary/fiscal
####### responses, with China having the most aggressive response to the virus itself (and as a result the best virus and
####### economic outcomes), the US having the worst response to the virus but (in part as a result of the destruction
####### that it then wrought) the biggest stimulus, and Europe somewhere in between on both fronts. The different
####### policy responses have produced divergent economic and market outcomes, and we expect this differentiation
####### will grow across economies. The virus has renewed US-China tensions and accelerated the broader dynamic
####### of a rising power threatening an existing power, with the US at times directing blame at China over the virus
####### and recently escalating sanctions, and China seeking to position itself in a leadership role of extending aid to
####### other economies via its “Health Silk Road.” And we have started to see the repatriation of supply chains as the
####### global shutdowns highlighted the vulnerabilities produced by global supply chains.
####### In other words, there is real risk that the secular trend toward increased globalization is reversing, a trend that
####### has been an important force supporting global growth and productivity but also increased correlations across
####### global markets. Even over the past roughly 50 years, while globalization has surged, it’s still striking just how
####### divergent and variable the outcomes across economies have been, which can be masked by correlations (e.,
####### markets can be positively correlated but end up in quite different places). The table below ranks different
####### economies’ respective equity returns over every decade since the 1900s. As shown, the differences between the
####### best- and worst-performing equities markets were typically massive. And there was no pattern to it: an equities
####### market that outperformed in one decade often underperformed in the next, with no one economy consistently
####### outperforming. In the 1980s, the US was one of the worst performers; that flipped in the 1990s when the US
####### was nearly the top performer, flipped again in the 2000s when the US underperformed, and then reversed
####### again in the 2010s when the US has been on top. An equal-weight mix of equity markets would have performed
####### well across most of the cases and would have avoided the disastrous outcomes.
Rankings of Equity Excess Returns (Hedged) by Decade
2010s 2000s 1990s 1980s 1970s 1960s
USA 235% CHN 76% CHE 231% SWE 503% KOR 456% ESP 312% NZL 209% NOR 48% USA 217% KOR* 354% JPN 66% AUS 148% SWE 198% BRZ 45% SWE* 190% JPN 310% CAN 30% Equal Weight 75%
CHE 140% CAN 42% FRA 117% ESP 188% Equal Weight 10% JPN 74% DEU 139% AUS 36% GBR 110% Equal Weight 185% GBR 8% CAN 71% FRA 137% KOR 22% ESP 96% DEU 179% CHE -5% USA 41% JPN 135% ESP 17% DEU 92% GBR 173% AUS -12% SWE 31% GBR 105% Equal Weight 6% AUS 59% ITA 169% USA -17% GBR 28%
TAI 98% NZL -3% Equal Weight 53% FRA 158% FRA -20% DEU* 21% Equal Weight 97% CHE* -4% CAN 52% CHE 96% SWE -22% ITA -1% NOR 95% SWE -13% ITA 40% USA 96% DEU -31% FRA -6% CAN 70% TAI -23% NOR 2% AUS 39% ESP* -69% RUS 61% GBR -23% NZL -6% NOR 23% ITA -74% AUS 61% USA -27% JPN -47% CAN -4% ITA 48% FRA -32% TAI -49% KOR 33% ITA -35% KOR -66% ESP 23% DEU -36% CHN* 10% JPN -41% BRZ -13%
Avg Correl 64% 74% 50% 46% 38% 26% Best–Worst 247% 117% 296% 507% 530% 319% *Previous decade’s top-performing economy
Grappling with the new reality of zero bond yields
Corso: Finanza e mercati finanziari internazionali
Università: Università degli Studi di Torino
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