TABLE IV

Correlation Matrix of Annual Rates of Return, 1950-76 (Nominal Returns)

Commodity Futures

Long Term
Government Bonds

Treasury Bills

Inflation

Common Stocks

-0.24

-0.10

-0.57

-0.43

Commodity Futures

-016

0.34

0.58

Long Term Government Bonds

0.21

0.03

Treasury Bills

0.76

Correlation Matrix of Annual Rates of Return, 1950-76 (Real Returns)

Commodity Futures

Long Term
Government Bonds

Treasury Bills

Inflation

Common Stocks

-0.25

-0.14

0.18

-0.54

Commodity Futures

-036

-0.48

0.48

Long Term Government Bonds

0.46

-0.38

Treasury Bills

-0.75

Correlation Matrix of Annual Rates of Return, 1950-76 (Excess Returns)

Commodity Futures

Long Term
Government Bonds

Inflation

Common Stocks

-0.20

-0.08

-0.48

Commodity Futures

-026

-0.52

Long Term Government Bonds

-0.20