Managed Futures Correlations to Stocks & Bonds Decline During Market Selloffs

Rolling 3-year correlations of stocks, bonds, and managed futures

Correlations are calculated using SPDR S&P 500 ETF SPY returns as a proxy for stock returns, iShares Core U.S. Aggregate Bond ETF AGG returns as a proxy for bond returns, and returns of a 50-50 mix of ABYIX and ASFYX, the two managed futures mutual funds Burney Wealth Management uses in its asset allocation models, as a proxy for managed futures returns.
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