Chicago
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S&P/Case-Shiller® Chicago Home Price Index
Chicago Housing vs. Asset Classes, Monthly
1 YEAR
Correlation
Return
Volatility
Sharpe*
S&P/CSI
1.00
-9.99%
0.82%
-1.16
Bonds
-0.90
10.91%
0.99%
3.20
Commodities
-0.96
49.15%
3.63%
0.46
REITs
0.85
-23.60%
5.16%
-0.45
Stocks
0.94
-6.40%
3.60%
0.86
3 YEAR
Correlation
Return
Volatility
Sharpe*
S&P/CSI
1.00
-0.99%
0.84%
0.55
Bonds
-0.71
18.90%
0.98%
1.18
Commodities
-0.09
34.53%
5.25%
0.42
REITs
0.72
11.32%
4.57%
0.56
Stocks
0.16
10.21%
2.59%
1.34
5 YEAR
Correlation
Return
Volatility
Sharpe*
S&P/CSI
1.00
17.22%
0.76%
1.02
Bonds
-0.29
31.57%
1.19%
1.43
Commodities
0.16
105.47%
5.27%
0.83
REITs
0.63
63.19%
4.71%
0.80
Stocks
0.14
55.55%
2.60%
1.03
10 YEAR
Correlation
Return
Volatility
Sharpe*
S&P/CSI
1.00
67.07%
0.66%
1.52
Bonds
-0.17
83.80%
1.16%
1.33
Commodities
0.19
205.46%
5.19%
0.62
REITs
0.39
30.91%
4.31%
0.45
Stocks
-0.10
22.30%
3.60%
0.25
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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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