Examining Volatility Correlation with the S&P 500

Coaker has a couple great papers on correlation and the volatility of correlation (pdf file). Below are five charts that examine the one-year rolling correlations between the S&P 500 Index TR and :

Foreign Stocks (MSCI EAFE) (EFA)

10 YR US Govt Bonds (BVT)

Commodities (GSCI) (GSG)

REITS (NAREIT) (FFR)

The red line is the average correlation over the time period 1973-2008:

Comments

[donzelion:]

A very helpful and intriguing set of charts. I hadn't expected that REITs and foreign equities (EAFA) might share roughly the same average degree of correlation over an extended period. I wouldn't expect that to continue, unless globalized markets truly deglobalize.

Mar 10 10:53 AM