Table 2 Coefficients of correlation amongst different asset classes.
S&P 500 | FTSE 100 | S&P/ASX 200 | Bond USA | Bond UK | Bond Aus | REIT USA | REIT UK | REIT Aus | |
|---|---|---|---|---|---|---|---|---|---|
S&P 500 | 1 | 0.541072 | 0.342504 | 1.049574 | 0.504300 | 0.272112 | 0.568388 | 0.357213 | 0.261606 |
FTSE 100 | 0.541072 | 1 | 0.487490 | 0.547376 | 0.993891 | 0.471731 | 0.280517 | 0.764855 | 0.350909 |
S&P/ASX 200 | 0.342504 | 0.487490 | 1 | 0.345656 | 0.465427 | 0.986537 | 0.222733 | 0.345656 | 0.766956 |
Bond USA | 1.049574 | 0.547376 | 0.345656 | 1 | 0.512705 | 0.276314 | 0.574692 | 0.364567 | 0.262656 |
Bond UK | 0.504300 | 0.993891 | 0.465427 | 0.512705 | 1 | 0.513756 | 0.261606 | 0.762754 | 0.325694 |
Bond Aus | 0.272112 | 0.471731 | 0.986537 | 0.276314 | 0.513756 | 1 | 0.178606 | 0.314137 | 0.701818 |
REIT USA | 0.568388 | 0.280517 | 0.222733 | 0.574692 | 0.261606 | 0.178606 | 1 | 0.285907 | 0.297327 |
REIT UK | 0.357213 | 0.764855 | 0.345656 | 0.364567 | 0.762754 | 0.314137 | 0.285907 | 1 | |
REIT Aus | 0.261606 | 0.350909 | 0.766956 | 0.262656 | 0.325694 | 0.701818 | 0.245846 | 0.297327 | 1 |
