Index Returns and Correlations: 1998-2012
Index Returns and Correlations: 1998-2012
The table below is based on Bloomberg data from Barclays, Citibank, JP Morgan, S&P Dow Jones Indexes, and MSCI. The top row abbreviations represent the following indexes: Barclays = Barclays Aggregate Bond, World = Citi Non-USD World Gov’t Bond, H/Y = Barclays U.S. High Yield Credit Bond, E.M. = JP Morgan Emerging Markets Bond, R.E. = Dow Jones Global R.E. Securities, Div. Stk. = MSCI ACWI High Dividend Yield (world stock), and S&P = S&P 500.
Annualized Index Returns [1998-2012]
|
|
Barclays |
World |
H/Y |
E.M. |
R.E. |
Div. Stk. |
S&P |
|
annualized |
6.0% |
6.0% |
7.1% |
10.5% |
8.8% |
3.8% |
4.5% |
|
Std. Dev. |
3.5% |
8.5% |
10.1% |
12.8% |
19.5% |
16.2% |
16.2% |
|
Max. D. |
-3.8% |
-13.8% |
-33.3% |
-32.8% |
-68.6% |
-60.2% |
-51.0% |
|
S&P Corr. |
-0.1 |
0.1 |
0.6 |
0.6 |
0.7 |
0.9 |
1.0 |
Correlation Coefficients [1998-2012]
|
Index |
B |
W |
HY |
EM |
RE |
DS |
SP |
|
Barclays Aggregate Bond |
1.0 |
0.8 |
0.4 |
0.8 |
0.4 |
0.5 |
0.4 |
|
Citi Non-USD World Gov’t Bond |
0.6 |
1.0 |
0.2 |
0.5 |
0.5 |
0.4 |
0.3 |
|
Barclays U.S. H/Y Credit Bond |
0.1 |
0.1 |
1.0 |
0.8 |
0.8 |
0.6 |
0.7 |
|
JP Morgan Emerging Mkts. Bond |
0.3 |
0.2 |
0.6 |
1.0 |
0.7 |
0.7 |
0.7 |
|
DJ Global Real Estate Securities |
0.1 |
0.3 |
0.7 |
0.6 |
1.0 |
0.9 |
0.9 |
|
MSCI All-World High Div. Stock |
0.0 |
0.3 |
0.6 |
0.6 |
0.8 |
1.0 |
1.0 |
|
S&P 500 |
-0.1 |
0.1 |
0.6 |
0.6 |
0.7 |
0.9 |
1.0 |