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Sunday, 20 September 2009

Correlation of Commodity Futures with Other Assets

Correlation of Commodity Futures returns with stocks, bonds and inflation

(Overlapping data of returns from 1959-2004)
































PeriodStocksBondsInflation
Monthly0.05-0.140.01
Quarterly-0.06-0.270.14
1 Year-0.10-0.300.29
5 Year-0.42-0.250.45

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