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Composite-20



Graph a housing market:





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 -14.35% 0.08% -4.54
Bonds 0.79 10.91% 1.21% 5.77
Commodities -0.77 49.15% 2.17% -6.65
REITs 0.86 -23.60% 5.24% 0.79
Stocks -0.96 -6.40% 1.95% 4.40
         
3 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 -5.04% 0.71% 1.01
Bonds -0.42 18.90% 0.95% 1.00
Commodities 0.90 34.53% 5.25% 0.21
REITs -0.02 11.32% 4.51% 1.86
Stocks -0.67 10.21% 1.91% 2.00
         
5 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 25.48% 0.72% 1.49
Bonds -0.07 31.57% 1.21% 1.34
Commodities 0.87 105.47% 5.33% 0.68
REITs 0.00 63.19% 4.67% 1.84
Stocks -0.15 55.55% 2.20% 1.56
         
SINCE 2000
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 72.16% 0.61% 1.91
Bonds -0.01 73.41% 1.19% 1.57
Commodities 0.71 194.37% 5.28% 0.47
REITs -0.01 96.21% 4.18% 1.22
Stocks -0.05 -7.62% 3.42% 0.06

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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