Reilly,Kao and Wright (1992)find that the major bond market indices in the USA have a correlation coefficient ranging from

A) $ 0.2 $
B) $ 0.4 $
C) $ 0.6 $
D) $ 0.9 $

Question

Reilly,Kao and Wright (1992)find that the major bond market indices in the USA have a correlation coefficient ranging from

A) $ 0.2 $
B) $ 0.4 $
C) $ 0.6 $
D) $ 0.9 $

Quizplus · Accepted Answer

Reilly,Kao and Wright (1992)analyse the major bond market indices reported in the USA that might be used as benchmarks for the bond segment of the total portfolio.They show that there appears to be little difference between the major US bond indices in terms of return and variance.Further,support for the similarity of these bond indices is found in the very high levels of correlation,with correlation coefficients around 0.9.Thus,while in the USA the ultimate choice of benchmark may not be so important for bonds.In Australia,access to bond indices is more limited.

Reilly,Kao and Wright (1992)find That the Major Bond Market Indices 0.2 0.2 0.2

Reilly,Kao and Wright (1992)find That the Major Bond Market Indices $0.2$