Asset Class Correlations

Model Configuration

Correlation Results

Asset Class Correlations

Asset Correlations
NameTickerIVVIJHIJREFASCZEEMAGGSHYIEFTLTTIPLQDVNQGLDDBCAnnualized ReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
iShares Core S&P 500 ETFIVV1.000.940.900.890.880.770.18-0.20-0.16-0.190.340.420.750.070.528.77%1.30%4.70%16.29%
iShares Core S&P Mid-Cap ETFIJH0.941.000.970.850.860.770.14-0.25-0.21-0.250.330.390.770.080.568.82%1.48%5.55%19.22%
iShares Core S&P Small-Cap ETFIJR0.900.971.000.800.810.710.08-0.25-0.25-0.280.240.330.75-0.000.528.84%1.58%5.98%20.70%
iShares MSCI EAFE ETFEFA0.890.850.801.000.970.880.26-0.14-0.11-0.150.370.490.720.140.591.78%1.46%5.34%18.51%
iShares MSCI EAFE Small-Cap ETFSCZ0.880.860.810.971.000.860.25-0.16-0.12-0.170.390.480.710.160.593.36%1.38%5.75%19.93%
iShares MSCI Emerging Markets ETFEEM0.770.770.710.880.861.000.25-0.13-0.10-0.150.400.460.640.260.590.20%1.86%6.33%21.93%
iShares Core US Aggregate Bond ETFAGG0.180.140.080.260.250.251.000.640.850.800.770.870.370.39-0.082.56%0.34%1.26%4.36%
iShares 1-3 Year Treasury Bond ETFSHY-0.20-0.25-0.25-0.14-0.16-0.130.641.000.760.590.420.37-0.070.30-0.271.07%0.09%0.38%1.33%
iShares 7-10 Year Treasury Bond ETFIEF-0.16-0.21-0.25-0.11-0.12-0.100.850.761.000.910.650.570.050.36-0.302.88%0.44%1.92%6.66%
iShares 20+ Year Treasury Bond ETFTLT-0.19-0.25-0.28-0.15-0.17-0.150.800.590.911.000.540.540.050.26-0.373.33%0.98%4.14%14.34%
iShares TIPS Bond ETFTIP0.340.330.240.370.390.400.770.420.650.541.000.700.440.490.252.90%0.41%1.75%6.06%
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.420.390.330.490.480.460.870.370.570.540.701.000.500.300.123.88%0.58%2.42%8.37%
Vanguard Real Estate ETFVNQ0.750.770.750.720.710.640.37-0.070.050.050.440.501.000.110.376.31%2.00%6.72%23.28%
SPDR Gold SharesGLD0.070.08-0.000.140.160.260.390.300.360.260.490.300.111.000.304.93%1.12%5.00%17.33%
Invesco DB Commodity TrackingDBC0.520.560.520.590.590.59-0.08-0.27-0.30-0.370.250.120.370.301.00-1.30%1.26%5.73%19.83%
Asset correlations for time period 01/01/2008 - 12/31/2022 based on monthly returns
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Time frame for correlation analysis is the full available data range unless a specific date interval is specified.
  • Monthly standard deviation is calculated based on available full calendar months including the entered start and end months.
  • Annualized standard deviation is calculated from the standard deviation of monthly returns
  • Annualized return is calculated from the specific time period using compound annual growth rate formula.