TABLE IV
Correlation Matrix of Annual Rates of Return, 1950-76 (Nominal Returns)
|
Commodity Futures |
Long Term |
Treasury Bills |
Inflation |
|
| Common Stocks |
-0.24 |
-0.10 |
-0.57 |
-0.43 |
| Commodity Futures |
-016 |
0.34 |
0.58 |
|
| Long Term Government Bonds |
0.21 |
0.03 |
||
| Treasury Bills |
0.76 |
Correlation Matrix of Annual Rates of Return, 1950-76 (Real Returns)
|
Commodity Futures |
Long Term |
Treasury Bills |
Inflation |
|
| Common Stocks |
-0.25 |
-0.14 |
0.18 |
-0.54 |
| Commodity Futures |
-036 |
-0.48 |
0.48 |
|
| Long Term Government Bonds |
0.46 |
-0.38 |
||
| Treasury Bills |
-0.75 |
Correlation Matrix of Annual Rates of Return, 1950-76 (Excess Returns)
|
Commodity Futures |
Long Term |
Inflation |
|
| Common Stocks |
-0.20 |
-0.08 |
-0.48 |
| Commodity Futures |
-026 |
-0.52 |
|
| Long Term Government Bonds |
-0.20 |