Mayor's Office of Pensions Investments Correlations: Unstable and Environmentally Dependent Rolling 3-yr Correlation of Monthly Excess Returns —Global Stenos and Global Nominal Bonds 60% 40% 20% 0% -20% 40% .60% Avg Corset a 0.18 75 6/28/2011 4.21 PM 80 85 90 95 00 05 10 H Global Nominal