2 ms·
Figure 2 illustrates five-year correlations between monthly U.S. stock and U.S. bond total returns over five-year intervals since 1926 (17 distinct, nonoverlapp
by roymurdock 11y ago
Figure 2 illustrates five-year correlations between
monthly U.S. stock and U.S. bond total returns over
five-year intervals since 1926 (17 distinct, nonoverlapping periods). While the long-term average
correlation between these two asset classes has
been 0.25, the figure shows that correlations over
shorter windows vary widely from this average,
with a range of 0.72 for the five years ended 1975
to –0.54 for the five years ended 2005.
http://www.vanguard.com/pdf/s130.pdf http://www.vanguard.com/pdf/s130.pdf