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	EMB	USO	GSG	VNQ	RWX	EEM	EFA	VB	VV	Return	StdDev
Inflation-protected Treasuries	TIP													7.4%	0.4%
Gold	GLD	0.26												18.4%	1.2%
US Bonds	AGG	0.62	0.09											7.4%	0.3%
Emerging Market Bonds	EMB	0.01	0.00	0.05										23.1%	0.7%
Oil	USO	-0.08	0.17	-0.27	0.15									10.7%	2.5%
Commodities Index	GSG	-0.06	0.18	-0.24	0.20	0.90								5.8%	1.9%
US Real Estate	VNQ	-0.07	0.00	-0.16	0.22	0.48	0.47							43.9%	3.3%
International Real Estate	RWX	-0.05	0.11	-0.13	0.36	0.60	0.60	0.71						33.6%	1.9%
Emerging Markets	EEM	-0.12	0.14	-0.23	0.29	0.67	0.66	0.75	0.85					49.6%	2.2%
Europe, Australasia, Far East	EFA	-0.09	0.15	-0.15	0.31	0.65	0.65	0.75	0.90	0.93				21.8%	1.8%
US Small Cap Stocks	VB	-0.06	0.09	-0.18	0.29	0.59	0.58	0.85	0.82	0.87	0.87			34.9%	1.9%
US Large Cap Stocks	VV	-0.09	0.06	-0.20	0.29	0.62	0.61	0.84	0.86	0.91	0.93	0.96		22.6%	1.5%
US Mid Cap Stocks	VO	-0.09	0.08	-0.22	0.28	0.64	0.63	0.85	0.84	0.91	0.91	0.97	0.98	33.4%	1.8%

Period:

[1 Mo]

[3 Mo]

[6 Mo]

[1 Yr]

[2 Yr]

Intra-portfolio diversification	= 0.4
Portfolio return	= 24.4%
Start Date	= 2009-01-27
End Date	= 2010-07-28

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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