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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