Major Asset Class Correlation Matrix

The following table shows return correlations between various asset classes (as represented by exchange traded funds) over the past three months.

		TIP	GLD	AGG	EMB	USO	GSG	VNQ	RWX	EEM	EFA	VB	VV	Return1	StdDev2
iShares Barclays TIPS Bond Fund	TIP													1.0%	0.3%
SPDR Gold Shares	GLD	0.02												3.8%	1.2%
iShares Barclays Aggregate Bond	AGG	0.57	-0.23											0.4%	0.2%
iShares JPMorgan USD Emerging Markets Bond	EMB	0.07	0.33	0.04										5.1%	0.3%
United States Oil	USO	-0.19	0.50	-0.18	0.22									9.2%	1.5%
iShares S&P GSCI Commodity-Indexed Trust	GSG	-0.17	0.54	-0.25	0.16	0.92								8.7%	1.1%
Vanguard REIT Index ETF	VNQ	-0.23	0.38	-0.08	0.26	0.26	0.27							17.8%	1.2%
SPDR Dow Jones Intl Real Estate	RWX	-0.32	0.51	-0.35	0.28	0.44	0.47	0.77						15.5%	1.5%
iShares MSCI Emerging Markets Index	EEM	-0.32	0.56	-0.34	0.31	0.48	0.49	0.81	0.91					20.8%	1.7%
iShares MSCI EAFE Index	EFA	-0.36	0.57	-0.35	0.34	0.50	0.52	0.78	0.95	0.95				16.8%	1.4%
Vanguard Small Cap ETF	VB	-0.30	0.50	-0.27	0.32	0.41	0.45	0.86	0.84	0.90	0.87			20.3%	1.4%
Vanguard Large Cap ETF	VV	-0.35	0.54	-0.34	0.33	0.51	0.53	0.83	0.89	0.92	0.91	0.96		17.5%	1.0%
Vanguard Mid-Cap ETF	VO	-0.31	0.53	-0.31	0.32	0.44	0.47	0.84	0.85	0.91	0.87	0.98	0.98	18.2%	1.2%

Select Period:

Intra-portfolio diversification	= 0.4
Portfolio return	= 11.9%
Start Date	= 2011-11-23
End Date	= 2012-02-21

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.