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Hedge and Safe Haven Financial Assets

July 4, 2022

This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Gold, short-term treasury bills, long-term treasury bonds, the spread between the long-term treasury and corporate bonds, 5-month volatility, and 1-month volatility are uncorrelated or negatively correlated with the S&P500 making them good candidates for a role of a hedge asset.
5-month and 1-month volatility as exchange trade products, and also the short-term government bills and long-term government bonds able to play a role of a safe haven asset.
Correlation analysis of the S&P500 and TNX shows that the correlation structure is not consistent from data frame to data frame.