MacroMarkets LLC HomeContact Us

MacroSharesResourcesRecent NewsAbout Us
CSI Housing
map
overview
S&P Case-Shiller&#174 Home Price Indices
methodology
Composition & Updates
Market Definitions
composite weights
data downloadsotc housing productsForward ContractsIndex-Linked NotesIndex Swapstotal return swapsother otc productsCME Housing Futures & Options
brochure
fact sheet
block trading guide
tickers
FAQ
product brief
find a broker



Composite-10



Graph a housing market:





S&P/Case-Shiller® Composite-10 Home Price Index

<IMG SRC="images/teaser-fpo.jpg" WIDTH=450 HEIGHT=1000 usemap="#home" BORDER=0> Composite-10 Housing vs. Asset Classes, Monthly

1 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 -15.30% 0.94% -1.86
Bonds -0.90 10.91% 0.99% 3.19
Commodities -0.96 49.15% 3.63% 0.45
REITs 0.88 -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 -6.60% 1.16% 0.36
Bonds -0.65 18.90% 0.98% 1.18
Commodities 0.07 34.53% 5.25% 0.42
REITs 0.63 11.32% 4.57% 0.56
Stocks 0.07 10.21% 2.59% 1.34
         
5 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 28.46% 1.20% 0.86
Bonds -0.20 31.57% 1.19% 1.43
Commodities 0.36 105.47% 5.27% 0.83
REITs 0.55 63.19% 4.71% 0.80
Stocks 0.13 55.55% 2.60% 1.03
         
10 YEAR
  Correlation Return Volatility Sharpe*
S&P/CSI 1.00 121.84% 0.95% 1.27
Bonds -0.07 83.80% 1.16% 1.33
Commodities 0.31 205.46% 5.19% 0.62
REITs 0.35 30.91% 4.31% 0.45
Stocks -0.07 22.30% 3.60% 0.25

Download Index Data
Current/revised edition [login or register to access]
Tiered Prices
Prior Editions
Analytics Workbook


*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-10 weights (Jan. 2000 on)
Composite-10 Market Weights
Boston: 0.07412188
Chicago: 0.08886762
Denver: 0.03682453
Las Vegas: 0.01480245
Los Angeles: 0.21161961
Miami: 0.04986164
New York: 0.27239040
San Diego: 0.05513356
San Francisco: 0.11787881
Washington, DC: 0.07849949
source: Fiserv