Major Asset Class Correlation Matrix

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

TIP GLD AGG USO GSG VNQ RWX EEM EFA VB VV Return StdDev
Inflation-protected Treasuries TIP 6.7% 0.3%
Gold GLD 0.12 27.5% 1.2%
US Bonds AGG 0.66 -0.12 5.8% 0.2%
Oil USO 0.05 0.55 -0.21 16.2% 1.9%
Commodities Index GSG 0.10 0.57 -0.15 0.85 13.6% 1.6%
US Real Estate VNQ -0.14 0.37 -0.27 0.51 0.41 52.7% 1.8%
International Real Estate RWX 0.00 0.56 -0.20 0.60 0.57 0.74 5.6% 1.4%
Emerging Markets EEM -0.09 0.63 -0.28 0.68 0.65 0.73 0.88 24.0% 1.7%
Europe, Australasia, Far East EFA -0.04 0.65 -0.23 0.66 0.66 0.72 0.90 0.93 7.4% 1.3%
US Small Cap Stocks VB -0.13 0.46 -0.28 0.52 0.51 0.83 0.79 0.84 0.84 39.6% 1.3%
US Large Cap Stocks VV -0.09 0.54 -0.25 0.60 0.58 0.81 0.83 0.90 0.92 0.94 27.1% 1.0%
US Mid Cap Stocks VO -0.12 0.54 -0.28 0.60 0.59 0.83 0.81 0.89 0.89 0.96 0.97 40.9% 1.2%

Period: [1 Mo] [3 Mo] [6 Mo] [1 Yr] [18 Mo] [2 Yr]

Intra-portfolio diversification = 0.5
Portfolio return = 21.8%
Start Date = 2009-09-08
End Date = 2010-03-08

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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