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 -1.6% 0.3%
SPDR Gold Shares GLD 0.56 -6.6% 0.9%
iShares Barclays Aggregate Bond AGG 0.78 0.55 0.4% 0.2%
iShares JPMorgan USD Emerging Markets Bond EMB 0.42 0.28 0.48 -1.3% 0.3%
United States Oil USO 0.18 0.19 0.06 0.09 -20.4% 1.4%
iShares S&P GSCI Commodity-Indexed Trust GSG 0.23 0.25 0.07 0.14 0.94 -15.5% 0.9%
Vanguard REIT Index ETF VNQ 0.13 0.02 0.16 0.30 -0.08 0.02 4.7% 0.8%
SPDR Dow Jones Intl Real Estate RWX -0.06 -0.01 0.00 0.36 0.08 0.15 0.46 -4.7% 0.8%
iShares MSCI Emerging Markets Index EEM 0.03 0.14 0.02 0.48 0.20 0.26 0.36 0.64 -7.1% 1.1%
iShares MSCI EAFE Index EFA -0.08 -0.01 -0.02 0.39 0.14 0.19 0.34 0.82 0.70 -3.8% 0.9%
Vanguard Small Cap ETF VB -0.22 -0.08 -0.16 0.17 0.24 0.28 0.46 0.62 0.50 0.66 1.4% 0.9%
Vanguard Large Cap ETF VV -0.25 -0.14 -0.21 0.25 0.22 0.28 0.46 0.67 0.59 0.80 0.88 3.5% 0.8%
Vanguard Mid-Cap ETF VO -0.25 -0.11 -0.19 0.24 0.24 0.30 0.46 0.66 0.55 0.75 0.94 0.97 3.6% 0.9%

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

Intra-portfolio diversification = 0.3
Portfolio return = -3.6%
Start Date = 2014-08-27
End Date = 2014-11-26

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.