JURRIEN TIMMER, DIRECTOR OF GLOBAL MACRO STRATEGY AND CO-PORTFOLIO MANAGER OF FIDELITY DYNAMIC STRATEGIES FUND :
The grid below shows the rolling correlation of the monthly return of the S&P 500® Index for the 12 months through August 2010 against a host of other asset classes, from global equities to commodities to bonds. The darker red the boxes, the higher the correlation; the darker blue the boxes, the lower the correlation. As you can see, reading from left to right, there are only three blue (risk off) boxes for the S&P 500: T-bills, investment-grade bonds (dominated by Treasuries, mortgages, and agencies), and gold.
This was originally published for Fidelity Account Holders in October 2010. (prior to Fukushima)
"...gold is acting more like a currency than a commodity...", Shayne McGuire