Asset Classes

Sub-Classes

Your Portfolio

Correlation Over Time

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 two years.

SHV SHY IEI IEF TLH TLT LQD HYG MUB EMB Return StdDev
Treasury: Short Term SHV 0.5% 0.0%
Treasury: 1-3 Year SHY 0.36 2.9% 0.1%
Treasury: 3-7 Year IEI 0.28 0.84 6.5% 0.4%
Treasury: 7-10 Year IEF 0.15 0.73 0.91 8.4% 0.6%
Treasury: 10-20 Year TLH 0.13 0.67 0.87 0.95 9.6% 0.8%
Treasury: 20+ Year TLT 0.13 0.61 0.82 0.92 0.95 8.7% 1.2%
Corporate: Investment Grade LQD -0.22 -0.09 0.02 0.14 0.14 0.12 10.8% 1.0%
Corporate: High Yield HYG -0.26 -0.32 -0.34 -0.26 -0.26 -0.29 0.53 7.8% 1.5%
Municipal Bonds MUB -0.06 -0.05 0.05 0.08 0.11 0.10 0.29 0.24 6.2% 0.5%
Emerging Market Bonds EMB -0.12 -0.06 -0.09 -0.06 -0.05 -0.10 0.20 0.30 0.12 11.2% 1.3%
Mortgage-backed Securities MBB 0.08 0.35 0.51 0.51 0.45 0.41 0.27 -0.03 0.27 0.09 6.3% 0.3%

Period: [1 Mo] [3 Mo] [6 Mo] [1 Yr] [2 Yr]

Intra-portfolio diversification = 0.2
Portfolio return = 7.2%
Start Date = 2008-09-08
End Date = 2010-09-07

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

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