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The Volatility of Correlation

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

Foreign Stocks (MSCI EAFE)

10 YR US Govt Bonds

Commodities (GSCI)

REITS (NAREIT)

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

 

 

 

 

 

 

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