See the data table of asset class return, risk, and correlation data here, for 4 time periods:
ASSET CLASS RETURN, RISK, & CORRELATION DATA (1900-2009)
For a previous post on some asset allocation thoughts, see what the Talmud recommends here.
Some thoughts and commentary:
-Gold is the best performing asset class in the last 5 and 10 years. Yet over long periods, gold offered sub-standard, fixed-income like returns with the volatility of equities, with a real return of about 2%.
-German government bonds (bunds) offered a slightly lower yield but a more attractive risk/reward than US Treasuries, with a real return of about 1.5% to 4%. The recent low semi-deviation (downside risk) on bunds is stunning, as it is close to zero (much lower than Treasuries).
-Investment grade fixed income (FI), whether US or global, offered an attractive risk/reward ratio and low downside risk, over all periods, with a real return of 2% to 4.5%. Surprisingly, the semi-deviation of these diversified bond indices is lower than that of Treasuries, for all periods of time! So diversified bond indices have done much better than developed world stock indices for 5 and 10 years. For the last 20 years, they came close to matching the S&P 500 but with much lower risk (semi-standard deviation).
-For the last two decades, high-yield fixed income (junk bonds) has been a much better proposition than any equities (investors take equity risk but with more downside protection), with a real return of 4% to 6%.
-Fine art is a poor investment, in that its real return is low at 1% to 3%, but the volatility and semi-standard deviation are high. However, fine art offered some of the best option-like returns if you possess good artist selection ($1,000-$10,000 pieces can return 30%+ a year for decades, if the right piece is chosen, like a Van Gogh held from 1930 to 1980, a Picasso held from 1950 to 2010, or a Francis Bacon piece held from 1960 to 2005).
-US equities at -2% to 6.5% real returns almost always have beaten EU equities (at -5% to 2%), but EM equities do stunningly well with a real return of 5% to 10% (if your stomach can handle the down markets - also note that the track record for EM equities is short, only from 1988).
-Commodities have done well in the last decade with real returns of 8%, but have a poor track record from 1970 with real returns of ~1.5%.
-Regarding correlations, fine art as an asset class is least correlated with the other asset classes. Commodities are correlated with gold and EM equity to some degree. The bonds are correlated mostly to bonds, with the exception being HY FI, which has a high equity correlation and weaker correlation to normal bonds. Cash (US T-bills) and gold are negatively correlated, so when the USD weakens, gold prospers, and vice-versa. Real estate has a moderate correlation to HY FI and equities.
-Caveat lector: Statistics, which represent populations of data, can vary considerably based on starting points and ending points of the data sample, but some trends are perceptible. Also, it's important to note that statistics (averages, standard deviations, etc.) in financial datasets may be non-stationary, which means that they aren't stable and change over time. What that means: future performance and correlations may be quite different than past ones.
The only other publication that I know of that tracks this data is the Morningstar Ibbotson SBBI book. Also the Dimson/CSFB Global Investment Returns Yearbook is worth checking out.