The flows into risk-free assets by central banks and private investors has plunged returns on these assets into negative territory, and pushed investors out along the risk curve into assets that are close substitutes to risk-free assets (such as investment grade U.S. corporate bonds).

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First, we know that to reduce risk you need to combine assets that have a low positive correlation or, ideally, a negative correlation with other assets.

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It doesn't feel good to be borrowing at 6% while holding assets with negative returns.

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