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S&P/Case-Shiller® Chicago Home Price Index

<IMG SRC="images/teaser-fpo.jpg" WIDTH=450 HEIGHT=1000 usemap="#home" BORDER=0> Chicago Housing vs. Asset Classes, Monthly

1 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 -6.60% 0.67% -0.84
Bonds -0.81 12.27% 1.23% 3.18
Commodities -0.92 41.41% 3.42% 0.09
REITs 0.92 -27.37% 4.86% -0.01
Stocks 0.66 -3.19% 3.60% 1.63
         
3 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 4.53% 0.70% 0.83
Bonds -0.66 18.01% 1.13% 1.22
Commodities 0.26 34.83% 5.39% 0.39
REITs 0.57 11.88% 4.51% 0.76
Stocks -0.27 16.71% 2.52% 1.77
         
5 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 23.43% 0.64% 1.34
Bonds -0.31 26.79% 1.41% 1.12
Commodities 0.42 90.25% 5.34% 0.83
REITs 0.46 68.70% 4.65% 0.91
Stocks -0.10 53.91% 2.71% 0.82
         
10 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 74.46% 0.59% 1.84
Bonds -0.10 81.53% 1.38% 1.20
Commodities 0.35 151.29% 5.17% 0.55
REITs 0.32 31.19% 4.29% 0.46
Stocks -0.20 43.12% 3.65% 0.28

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*Sharpe Ratio is calculated by taking the excess returns (average, rolling 12-month return) above/below the risk-free rate (average 3-month US Treasury Bill yield), and dividing by volatility (standard deviation of average, rolling 12-month return).


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