Investments, tenth edition



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Figure 5.2 

Nominal and real wealth indexes for investments in Treasury bills, 1970–2012 (inset figure is 

for 1926–2012)

bod61671_ch05_117-167.indd   126

bod61671_ch05_117-167.indd   126

6/18/13   8:03 PM

6/18/13   8:03 PM

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  C H A P T E R  

5

  Risk, Return, and the Historical Record 



127

expectations, the correlation between inflation and nominal T-bill rates will be close to 

perfect (1.0), while the correlation between inflation and the realized real rate will be close 

to zero. At the other extreme, if investors either ignored or were very poor at predict-

ing inflation, its correlation with nominal T-bill rates would be zero and the correlation 

between inflation and real rates would be perfectly negative ( 2 1.0), since the real rate 

would then fall one-for-one with any increase in inflation. 

 The following table compares correlations of inflation with nominal and real T-bill rates 

in early and recent subperiods. The results suggest improving accuracy in anticipating 

inflation. The correlation of inflation with nominal T-bills increased from virtually zero to 

0.48, while correlation with real T-bills increased from  2 0.98 to  2 0.67.  

8

  



   


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