As can be seen in the graph taken from William Bernstein’s book, Skating Where the Puck Was (data from Ken French “gold” series), PMEs also have a low correlation to stocks.
Bernstein notes that the lowest correlations occurred in the 1990s when only “stout-hearted, disciplined investors who knew that the asset class’ miserable recent returns had produced compelling valuations, and, moreover, who would not sell out during a generalized rout.” Correlations, of course, increased in following years as PMEs produced great returns.