Major Asset Class Correlation Matrix

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

		TIP	GLD	AGG	USO	GSG	VNQ	RWX	EEM	EFA	VB	VV	Return	StdDev
Inflation-protected Treasuries	TIP												-13.7%	0.2%
Gold	GLD	0.12											103.9%	0.9%
US Bonds	AGG	0.80	-0.07										2.3%	0.2%
Oil	USO	-0.17	0.55	-0.31									415.4%	1.6%
Commodities Index	GSG	-0.15	0.65	-0.33	0.97								189.9%	1.3%
US Real Estate	VNQ	0.00	0.24	-0.07	0.33	0.29							445.8%	0.9%
International Real Estate	RWX	-0.19	0.57	-0.33	0.66	0.61	0.37						169.6%	0.9%
Emerging Markets	EEM	-0.29	0.66	-0.38	0.70	0.70	0.45	0.90					302.6%	1.4%
Europe, Australasia, Far East	EFA	-0.22	0.63	-0.30	0.78	0.75	0.36	0.87	0.92				206.2%	1.1%
US Small Cap Stocks	VB	-0.31	0.46	-0.29	0.39	0.36	0.67	0.68	0.79	0.66			420.4%	0.8%
US Large Cap Stocks	VV	-0.27	0.53	-0.24	0.66	0.63	0.68	0.77	0.88	0.83	0.90		172.7%	0.7%
US Mid Cap Stocks	VO	-0.27	0.58	-0.26	0.56	0.56	0.64	0.73	0.88	0.78	0.93	0.97	294.6%	0.8%

Period:

[1 Mo]

[3 Mo]

[6 Mo]

[1 Yr]

[18 Mo]

[2 Yr]

Intra-portfolio diversification	= 0.4
Portfolio return	= 187.4%
Start Date	= 2010-02-08
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

Back