Table 2: Correlation matrix for the choice set of assets (1972–2009).

T-bL BF-REITGoldREITCan.Aus.USAJapanEuropeWorldHK

T-bills1.0.94.11−.09.05−.16−.17.10.04−.03.04−.04
L Bonds1.0.04−.09.12−.17−.14.14.14.01.09−.01
F-REIT1.0.53−.12−.06−.10−.15−.17−.23−.23−.02
Gold1.0−.19.11.23−.25.10−.12−.10.12
REITs1.0.47.52.57.16.40.52.44
Can.1.0.79.66.43.63.74.59
Aus.1.0.60.44.70.77.64
USA1.0.34.77.88.53
Japan1.0.46.65.58
Europe1.0.89.53
World1.0.64
HK1.0