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Composite-20



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S&P/Case-Shiller® Composite-20 Home Price Index

<IMG SRC="images/teaser-fpo.jpg" WIDTH=450 HEIGHT=1000 usemap="#home" BORDER=0> Composite-20 Housing vs. Asset Classes, Monthly

1 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 -10.71% 0.82% -1.64
Bonds -0.84 12.27% 1.23% 3.17
Commodities -0.93 41.41% 3.42% 0.09
REITs 0.94 -27.37% 4.86% -0.01
Stocks 0.71 -3.19% 3.60% 1.62
         
3 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 2.39% 1.04% 0.61
Bonds -0.59 18.01% 1.13% 1.22
Commodities 0.39 34.83% 5.39% 0.39
REITs 0.47 11.88% 4.51% 0.76
Stocks -0.30 16.71% 2.52% 1.77
         
5 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 33.18% 0.98% 1.07
Bonds -0.31 26.79% 1.41% 1.12
Commodities 0.54 90.25% 5.34% 0.83
REITs 0.41 68.70% 4.65% 0.91
Stocks -0.07 53.91% 2.71% 0.82
         
SINCE 2000
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 80.65% 0.84% 1.30
Bonds -0.16 71.76% 1.44% 1.35
Commodities 0.44 159.18% 5.24% 0.50
REITs 0.37 98.38% 4.24% 0.90
Stocks -0.10 -3.28% 3.48% 0.09

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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).


Normalized Composite-20 Weights (Jan. 2000 on)
Composite-20 Market Weight
Atlanta: 0.03929074
Boston: 0.05279478
Charlotte: 0.01314212
Chicago: 0.06329774
Cleveland: 0.01730555
Dallas: 0.03952123
Denver: 0.02622900
Detroit: 0.04834563
Las Vegas: 0.01054334
Los Angeles: 0.15073029
Miami: 0.03551495
Minneapolis: 0.02794756
New York: 0.19401550
Phoenix: 0.02917885
Portland: 0.01927497
San Diego: 0.03926998
San Francisco: 0.08396154
Seattle: 0.03889872
Tampa: 0.01482467
Washington, DC: 0.05591283
source: Fiserv