It's a fairly simply calculation from the existing columns I have - in effect "=ln(a2/a1)
" - so I doubt I've got that part wrong. So, perhaps the odd look is a combination of the use of Investment Trusts (with their variance from NAV) and the strange period we've gone through.
I didn't say that Investment Grade was correlated with equities - but rather, High Yield"... if rising confidence raises equities, it's likely to have a positive effect on high yield bonds as well ..."
unless you're referring to a different comment?
On a related note, the High Yield Investment Trusts once again finished OK today, though with a reversal from earlier in the day (i.e. IPE up early, CMHY and HDIV up late)
PS Just noticed this article: "US corporate bonds grow more susceptible to sudden rise in rates
Just to make sure I understand what you are doing, if a1, a2, a3,..aN etc. contain prices for asset A, b1, b2, b3,..bN for asset B. In C2 to C(N) calculate ln(a2/a1), ln(a3/a2),..ln(a(N)/a(N-1)) and in D2 to D(N) calculate ln(b2/b1), ln(b3/b2),..ln(b(N)/b(N-1)). Then CORREL(C2:C(N),D2:D(N)).
Essentially the higher the credit risk of a portfolio of bonds, the higher the correlation with equities and lower the correlation with government bonds. But, as you can see in my comparison between the correlations for 2016/2021 and 2016/2020, when the stock market gets a shock the correlation between equities and investment grade corporate bonds surges upwards. In other words, investment grade does not give anywhere near the protection that might be expected if you just look at correlations in more sedate periods.