Small-cap stocks, for instance, have a long-term correlation of 0.72 with large-cap stocks, according to the Ibbotson SBBI 2011 Classic Yearbook.

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Though long-term Treasuries have historically had low correlation coefficients with large-cap stocks, intermediate-term Treasuries are even less correlated with large-cap stocks.

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However, as Geoffrey Dicks at Novus Capital markets pointed out recently, short-term, the correlation with the official data is pretty weak.

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