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N ew York · Lon d on · Mexi co City · M a d rid
RISK AND CORRELATION .
The Mei Moses Index reaches empirical conclusions about art behavior as regards its capitalization and risk
using data about art sold at auction since 1875. This index shows a close-to-zero correlation factor between the
annual percentage changes in the art and stock indexes.
Mei Moses® Annual All Art Index and S&P 500
Total Return Index
Since 1952©
1000
100
10
Mei Moses All Art Index
S&P 500 Total Return
0
1952
1957
1962
1967
1972
1977
1982
1987
1992
1997
2002
2007
2012
©The Art of Collecting Art, 2011
Over the last fifty years, S&P 500 returns have performed similarly to the art index, reaching a CAR
(Cumulative Average Return) of 9.3% compared to 9.4% of shares.
The low volatility of art was demonstrated during the 2008 recession, when art indexes dropped 4.5% while the
S&P dropped 37.5%. Furthermore, recovery in the art market outpaced the stock market. In 2010 the All Art
Index increased by 22.6%. In 2011, it grew 10.2% compared to 9.1% for equities.
While the risk-adjusted return measures are solid and correlations to income producing assets are low, the
correlation between art and risk assets, like US equities is positive. This correlation rises when using semi-annual
data. For example, in the past 40 years of annual returns, the correlation between the S&P 500 and art is just
0.11.
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