Analyzing Income, Duration, and Correlation in Multi-Asset Investing
Thursday, 05 March 2026
10:30 AM EST
Zoom
Dr. Ananth Madhavan
MFE Executive Director
UC Berkeley Haas MFE Ananth Madhavan, PhD, is MFE Executive Director and Lecturer at the Haas School of Business of the University of California, Berkeley. Ananth has extensive practical and academic experience, with a focus on market microstructure, trading, asset management, and exchange-traded funds (ETFs). He is the author of an Oxford University Press book on ETFs and Index Investing and has published over 60 articles in leading academic and practitioner journals. Ananth earned a BA degree from the University of Delhi, MA degree from Boston University, and a PhD in economics from Cornell University.
Diane Nguyen
Director, Admissions & Marketing
UC Berkeley Haas MFE Diane Nguyen is the Director, Admissions & Marketing of the Berkeley MFE Program. She works with the admissions team and helps prepare students prior to joining the program. In addition, she provides support to the MFE students and program office.
MFE Executive Director
UC Berkeley Haas MFE Ananth Madhavan, PhD, is MFE Executive Director and Lecturer at the Haas School of Business of the University of California, Berkeley. Ananth has extensive practical and academic experience, with a focus on market microstructure, trading, asset management, and exchange-traded funds (ETFs). He is the author of an Oxford University Press book on ETFs and Index Investing and has published over 60 articles in leading academic and practitioner journals. Ananth earned a BA degree from the University of Delhi, MA degree from Boston University, and a PhD in economics from Cornell University.
Director, Admissions & Marketing
UC Berkeley Haas MFE Diane Nguyen is the Director, Admissions & Marketing of the Berkeley MFE Program. She works with the admissions team and helps prepare students prior to joining the program. In addition, she provides support to the MFE students and program office.We analyze the diversification benefits of fixed-income instruments under time-varying correlations. We estimate monthly, non-overlapping correlations from daily 10-year Treasury bond returns over the period January 1962 to May 2025. With these data, we use a hidden Markov model to identify three distinct correlation regimes, negative, zero, and positive. These regimes are highly persistent and differ in their diversification value depending on the importance of income versus duration as drivers of bond returns. Dynamically altering the mix of multi-asset portfolio allocations based on the most likely correlation regime materially improves returns while controlling risk.
Understand bond diversification dynamics
Learn hidden Markov model applications
Discover data-driven portfolio strategies
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UC Berkeley Haas School of Business, established in 1898, is a global leader in business education, known for its innovation and excellence. Located in the heart of the Bay Area, Haas is positioned at the epicenter of technology and finance, offering students unparalleled access to industry leaders and cutting-edge research. With a student body of approximately 1,400 and a faculty of over 90 distinguished professors, Haas provides a dynamic learning environment. The school' s Master of Financial Engineering program is highly regarded for its integration of advanced quantitative methods and machine learning, equipping graduates with the skills to excel in a rapidly evolving finance landscape. Haas is consistently ranked among the top business schools globally, reflecting its commitment to leadership, entrepreneurship, and impact.
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