Risk, Returns, and Correlations: Inflationary Periods

Table with 10 columns and 21 rows.

Cumulative Inflation Rate %	14.79	20.99	6.64	18.87	24.46	36.92	20.32	5.79	11.76
Correlation Coefficient
Stocks	1.00	1.00	1.00	1.00	1.00	1.00	1.00	1.00	1.00
Bonds	0.18	−0.06	0.02	0.26	−0.08	0.28	0.17	−0.72	0.57
60/40 Portfolio	1.00	1.00	1.00	0.98	0.98	0.97	0.99	0.96	0.99
Diversified Portfolio	n/a	n/a	n/a	n/a	n/a	0.81	0.89	0.92	0.95
Total Return % (Annualised)
Stocks	−8.88	−7.50	28.93	1.04	−13.24	5.40	7.99	−12.41	−2.96
Bonds	1.53	0.61	0.45	2.42	5.33	1.33	7.55	8.25	−11.07
60/40 Portfolio	−4.69	−4.25	17.63	1.84	−5.38	3.85	7.94	−4.32	−5.46
Diversified Portfolio	n/a	n/a	n/a	n/a	n/a	10.56	6.75	0.32	−4.41
Standard Deviation
Stocks	16.55	15.41	7.86	13.11	18.34	14.37	18.50	14.05	18.86
Bonds	1.31	0.76	0.38	4.16	4.57	5.67	4.87	6.58	6.37
60/40 Portfolio	9.79	9.24	4.87	8.39	9.98	9.55	12.20	6.67	12.85
Diversified Portfolio	n/a	n/a	n/a	n/a	n/a	9.49	8.73	7.95	11.61
Sharpe Ratio
Stocks	0.49	−0.46	5.50	−0.28	1.06	−0.14	0.12	−1.14	−0.07
Bonds	1.03	0.29	−1.65	-o. 72	−0.38	−1.16	0.03	0.97	−1.34
60/40 Portfolio	−0.46	−0.47	5.52	−0.39	−1.19	−0.42	0.10	−1.09	−0.30
Diversified Portfolio	n/a	n/a	n/a	n/a	n/a	0.23	−0.04	−0.25	−0.29

Stock performance is based on the IA SBBI US Large Stock Index. Bond performance is based on the IA SBBI US IT Government Index. The 60/40 portfolio consists of a 60% weighting in stocks and 40% in bonds. The diversified portfolio includes a 20% weighting in larger-cap domestic stocks; 10% each in developed- and emerging-markets stocks, Treasuries, core bonds, global bonds, and high-yield bonds; and 5% each in small-cap stocks, commodities, gold, and REITs. Both portfolios assume annual rebalancing. Returns for periods greater than one year are annualised