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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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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The long-term coefficient of correlation to the one-year Treasury is .80 while the ten-year Treasury scores .75 and the 30-year Treasury is lower still at .66.

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