We looked at 30-day rolling correlation as a short-term measure for the period from October 2003 to the present February 2018 between SPY and AGG (the Barclay Aggregate Bond index) ETFs. There has been a spike in correlation but there have been other periods of rising positive correlation.
We get similar results if we use the Treasury ETF, TLT, for comparison. We then took the 62-day (3-month) average of these numbers to provide a smooth result for our graph below. We will note that the correlation spike is under-reported given the moving average calculation.
Too often market commentators will announce judgment without verifying the facts. It may be too early to say that there will even be positive correlation looking at the monthly data over the last year.