Major Asset Class Correlation Matrix

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

TIP GLD AGG USO GSG VNQ RWX EEM EFA VB VV Return StdDev
Inflation-protected Treasuries TIP 1.3% 0.7%
Gold GLD 0.14 24.8% 1.8%
US Bonds AGG 0.46 0.09 5.8% 0.7%
Oil USO -0.14 0.25 -0.06 -40.3% 3.4%
Commodities Index GSG -0.10 0.27 -0.05 0.91 -31.7% 2.5%
US Real Estate VNQ -0.18 0.05 -0.13 0.44 0.44 -14.2% 4.8%
International Real Estate RWX -0.02 0.13 0.06 0.55 0.58 0.68 -8.7% 2.7%
Emerging Markets EEM -0.17 0.15 -0.05 0.60 0.61 0.75 0.81 8.5% 3.9%
Europe, Australasia, Far East EFA -0.09 0.18 0.07 0.60 0.61 0.76 0.87 0.93 -3.8% 2.8%
US Small Cap Stocks VB -0.11 0.09 -0.05 0.54 0.55 0.88 0.82 0.87 0.88 -2.5% 2.8%
US Large Cap Stocks VV -0.13 0.11 0.01 0.59 0.59 0.84 0.84 0.93 0.94 0.95 -4.4% 2.3%
US Mid Cap Stocks VO -0.12 0.12 -0.01 0.59 0.61 0.86 0.84 0.91 0.92 0.97 0.98 -2.0% 2.7%

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

Intra-portfolio diversification = 0.4
Portfolio return = -4.9%
Start Date = 2008-09-08
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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