@Adam: completely agree that correlations move with time.

A good side experiment would be for me to check these IWM/GDX correlations on the weekend, and see if they move much. I'll post the results here in the Algo forum and we can keep track; I'll start a new thread. My intuition tells me that they won't, but now that I've written those words, they will most likely change dramatically and all bets are off :)

I should have also stated in the note that the snapshots provided in the figures are just that -- snapshots. Expected returns will change daily/weekly/whatever, as will volatility. Time frame for lookback is very important, but with the EWMA method I use, I'm smoothing a lookback over about 100 days and since it's exponential, the data between 100 days ago and 93 days ago isn't that relevant compared to all of the other data...

Time will tell...