Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 56
Estimating Standard Deviations and Correlations
ОглавлениеWe also need to estimate the standard deviations of the asset classes as well as the correlations between each pair of asset classes. We estimate these values, shown in Table 2.2, from the monthly returns for the period beginning in January 1976 and ending in December 2015.
TABLE 2.2 Standard Deviations and Correlations
| Asset Classes | Standard Deviations (%) | Correlations | ||||||
|---|---|---|---|---|---|---|---|---|
| a | b | c | d | e | f | |||
| a | US Equities | 16.6 | ||||||
| b | Foreign Developed Market Equities | 18.6 | 0.66 | |||||
| c | Emerging Market Equities | 26.6 | 0.63 | 0.68 | ||||
| d | Treasury Bonds | 5.7 | 0.10 | 0.03 | −0.02 | |||
| e | US Corporate Bonds | 7.3 | 0.31 | 0.24 | 0.22 | 0.86 | ||
| f | Commodities | 20.6 | 0.16 | 0.29 | 0.27 | −0.07 | 0.02 | |
| g | Cash Equivalents | 1.1 | 0.02 | 0.02 | 0.03 | 0.18 | 0.09 | 0.06 |
