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.
