The authors study the link between bond maturity and equity diversification in developed economies across the past 6 decades. Although correlations between equities and interest rates have been largely similar for different bond maturities, yield-curve dynamics have varied considerably across episodes of stock-market stress. All interest rates tend to fall during sharp market crashes, but US, German, and UK yield curves steepened over prolonged downturns, and the Japanese yield curve flattened. As a result, 20-year bonds had estimated returns similar to 10-year bonds during equity downturns in the United States and Germany, were 26% lower in the United Kingdom, and outperformed only in Japan. The diversification gains of maturity extension are linked to macroeconomic factors, including monetary policy, expected inflation, and the shape of the yield curve. Yield curves tend to decline most during conventional easing but steepen considerably, whereas quantitative easing can instead flatten yields. These findings suggest that duration management may be best as an active investment discipline. TOPICS: Developed markets, financial crises and financial market history Key Findings • Yield-curve dynamics can vary considerably across episodes of stock-market stress. Although all interest rates tend to fall during sharp market crashes, US, German, and UK yield curves steepened considerably over prolonged downturns, and the Japanese yield curve flattened. • Long-maturity bonds have offered mixed incremental diversification benefits. Twenty-year bonds had estimated returns similar to 10-year bonds during equity downturns in the United States and Germany, were 26% lower in the United Kingdom, and outperformed only in Japan. • Diversification gains of maturity extension are linked to monetary policy. Yield curves tend to decline most during conventional easing but steepen considerably, whereas quantitative easing can instead flatten yields. This suggests that duration management should be an active investment discipline.

中文翻译：

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长期国债是股票的最佳对冲吗？

作者研究了过去6年中发达经济体债券期限与股票多元化之间的联系。尽管对于不同的债券到期日，股票与利率之间的相关性在很大程度上相似，但是在股票市场压力时期，收益率曲线的动态变化很大。在急剧的市场崩盘中，所有利率都趋于下降，但美国，德国和英国的收益率曲线随着长期的低迷而趋于陡峭，而日本的收益率曲线趋于平坦。结果，在美国和德国股市低迷时期，20年期债券的收益估计与10年期债券类似，在英国则下降了26％，仅在日本表现优异。到期日延长的多元化收益与宏观经济因素有关，包括货币政策，预期通货膨胀，以及收益曲线的形状。在传统的宽松政策下，收益率曲线往往会下降最多，但会急剧上升，而定量宽松政策反而会使收益率趋于平坦。这些发现表明，期限管理可能是最好的积极投资准则。主题：发达市场，金融危机和金融市场历史主要发现•收益曲线的动态在股票市场压力事件中可能有很大不同。尽管在急剧的市场崩盘中所有利率都趋于下降，但美国，德国和英国的收益率曲线在长期的低迷时期会明显变陡，日本的收益率曲线趋于平坦。•长期债券提供了混合的增量多样化收益。在美国和德国股市下跌期间，二十年期债券的估计收益类似于十年期债券，在英国下降了26％，仅次于日本。•到期日延长的多元化收益与货币政策有关。在传统的宽松政策下，收益率曲线往往会下降最多，但会急剧上升，而定量宽松政策反而会使收益率趋于平坦。这表明期限管理应该是一个积极的投资学科。