Composite-20
Graph a housing market:
S&P/Case-Shiller® Composite-20 Home Price Index
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