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Using data from 1973 to 1994 the correlations for the annual returns are:
|
|
S&P |
USSM |
EAFE |
HIYI |
LTGC |
IB |
TBILL |
GOLD |
NATR |
REIT |
1YR |
UKSM |
JPSM |
|
S&P |
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
USSM |
0.74 |
1 |
|
|
|
|
|
|
|
|
|
|
|
|
EAFE |
0.56 |
0.37 |
1 |
|
|
|
|
|
|
|
|
|
|
|
HIYI |
0.59 |
0.55 |
0.34 |
1 |
|
|
|
|
|
|
|
|
|
|
LTGC |
0.55 |
0.31 |
0.23 |
0.74 |
1 |
|
|
|
|
|
|
|
|
|
IB |
0.08 |
0.02 |
0.53 |
0.29 |
0.24 |
1 |
|
|
|
|
|
|
|
|
TBILL |
0.02 |
-0.02 |
-0.18 |
-0.13 |
0.12 |
-0.36 |
1 |
|
|
|
|
|
|
|
GOLD |
0.2 |
0.22 |
0.21 |
-0.03 |
-0.01 |
0.02 |
0.18 |
1 |
|
|
|
|
|
|
NATR |
0.68 |
0.58 |
0.42 |
0.07 |
-0.06 |
-0.06 |
0.02 |
0.59 |
1 |
|
|
|
|
|
REIT |
0.7 |
0.88 |
0.41 |
0.63 |
0.4 |
0.05 |
-0.04 |
0.36 |
0.55 |
1 |
|
|
|
|
1YR |
0.08 |
0.07 |
-0.18 |
0.14 |
0.41 |
-0.23 |
0.9 |
0.05 |
-0.13 |
0.03 |
1 |
|
|
|
UKSM |
0.33 |
0.4 |
0.66 |
0.22 |
0.03 |
0.62 |
-0.19 |
0.27 |
0.3 |
0.35 |
-0.25 |
1 |
|
|
JPSM |
0.26 |
0.11 |
0.72 |
0.03 |
-0.06 |
0.53 |
-0.2 |
0 |
0.24 |
0.14 |
-0.28 |
0.45 |
1 |
Legend:
S&P=S&P500 index
USSM=US small stocks
EAFE=large foreign stocks
HIYI=high yield"junk"corporate bonds
LTGC=long term high quality government/corporate bonds
IB= international bonds
TBILL=t-bills
GOLD= precious metals stocks
NATR= natural resources stocks
REIT=equity real estate investment trusts
1YR= 1 year corporate bonds
UKSM= United Kingcom small stocks
JPSM= Japanese small stocks
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