The Importance of Correlation in Portfolio Construction

In the last couple of years, correlations between equities and bonds have been very different from the longer term. So I'm really curious about this because I don't know the ins and out whether you do it or whether it even makes sense to look at correlation also in more than just one time frame. Yes, it depends on where your covariance estimate goes in or plays a role in your investment process. And yes, it might be that you use different, let's say, time frames or different approaches to these kinds of volatility and variances. But at the end, again, my approach to that would be you always want to have some parameters or some approach to estimating that is quite

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