Asset Correlations between Countries

Bond Correlation Matrix

The following table shows return correlations for the various bond terms (as represented by exchange traded funds) over the past three months.

SHV SHY IEI IEF TLH TLT LQD HYG MUB EMB Return1 StdDev2
iShares Barclays Short Treasury Bond SHV 0.0% 0.0%
iShares Barclays 1-3 Year Treasury Bond SHY 0.14 0.0% 0.0%
iShares Barclays 3-7 Year Treasury Bond IEI 0.08 0.83 0.4% 0.1%
iShares Barclays 7-10 Year Treasury IEF 0.06 0.71 0.94 1.5% 0.3%
iShares Barclays 10-20 Year Treasury Bd TLH 0.06 0.58 0.84 0.96 2.1% 0.4%
iShares Barclays 20+ Year Treasury Bond TLT 0.03 0.51 0.74 0.90 0.96 3.2% 0.6%
iShares iBoxx $ Invest Grade Corp Bond LQD 0.11 0.66 0.83 0.91 0.91 0.89 1.0% 0.3%
iShares iBoxx $ HY Corp Bond Fund HYG 0.12 0.11 0.08 0.06 0.02 -0.01 0.27 -0.0% 0.2%
iShares S&P National AMT-Free Muni Bd MUB -0.01 0.54 0.72 0.70 0.66 0.56 0.66 0.15 0.7% 0.2%
iShares JPMorgan USD Emerging Markets Bond EMB 0.18 0.30 0.42 0.44 0.41 0.34 0.55 0.53 0.43 4.1% 0.3%
iShares Barclays MBS Bond MBB 0.11 0.66 0.82 0.84 0.82 0.76 0.80 -0.03 0.62 0.46 1.0% 0.2%

Select Period: 1 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 5 Yr

Intra-portfolio diversification = 0.49
Portfolio return = 1.3%
Start Date = 2014-04-28
End Date = 2014-07-24

Each cell represents the correlation between the two corresponding assets.

Cell Color Description Diversification Benefit
-0.65 Asset pair with negative correlation Excellent Diversification
-0.15 Asset pair with slight negative correlation Good Diversification
0.2 Asset pair with mild positive correlation Moderate Diversification
0.8 Asset pair with strong positive correlation Poor Diversification

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.