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Composite-10



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S&P/Case-Shiller® Composite-10 Home Price Index

<IMG SRC="images/teaser-fpo.jpg" WIDTH=450 HEIGHT=1000 usemap="#home" BORDER=0> Composite-10 Housing vs. Asset Classes, Monthly

1 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 -11.41% 0.80% -1.80
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 1.40% 1.06% 0.57
Bonds -0.57 18.01% 1.13% 1.22
Commodities 0.40 34.83% 5.39% 0.39
REITs 0.46 11.88% 4.51% 0.76
Stocks -0.31 16.71% 2.52% 1.77
         
5 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 37.24% 1.06% 1.05
Bonds -0.27 26.79% 1.41% 1.12
Commodities 0.58 90.25% 5.34% 0.83
REITs 0.40 68.70% 4.65% 0.91
Stocks -0.07 53.91% 2.71% 0.82
         
10 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 137.07% 0.84% 1.47
Bonds -0.07 81.53% 1.38% 1.20
Commodities 0.43 151.29% 5.17% 0.55
REITs 0.26 31.19% 4.29% 0.46
Stocks -0.12 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).


Normalized Composite-10 weights (Jan. 2000 on)
Composite-10 Market Weights
Boston: 0.07412188
Chicago: 0.08886762
Denver: 0.03682453
Las Vegas: 0.01480245
Los Angeles: 0.21161961
Miami: 0.04986164
New York: 0.27239040
San Diego: 0.05513356
San Francisco: 0.11787881
Washington, DC: 0.07849949
source: Fiserv