This page shows a correlation matrix for common ETFs representing typical asset classes and subclasses. You can also view correlations for specific mutual funds, ETFs and stocks including rolling correlations over time for specific tickers.
Asset class correlations for time period 01/01/2008 - 09/30/2021 based on monthly returns.
| Name | Ticker | IVV | IJH | IJR | EFA | SCZ | EEM | AGG | SHY | IEF | TLT | TIP | LQD | VNQ | GLD | DBC | Annualized Return | Daily Standard Deviation | Monthly Standard Deviation | Annualized Standard Deviation |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| iShares Core S&P 500 ETF | IVV | 1.00 | 0.94 | 0.89 | 0.89 | 0.88 | 0.80 | 0.05 | -0.39 | -0.31 | -0.31 | 0.24 | 0.34 | 0.74 | 0.05 | 0.56 | 10.37% | 1.29% | 4.52% | 15.65% |
| iShares Core S&P Mid-Cap ETF | IJH | 0.94 | 1.00 | 0.96 | 0.85 | 0.86 | 0.79 | 0.02 | -0.43 | -0.35 | -0.35 | 0.23 | 0.33 | 0.76 | 0.06 | 0.59 | 10.17% | 1.48% | 5.43% | 18.80% |
| iShares Core S&P Small-Cap ETF | IJR | 0.89 | 0.96 | 1.00 | 0.79 | 0.80 | 0.73 | -0.04 | -0.43 | -0.39 | -0.38 | 0.14 | 0.26 | 0.74 | -0.02 | 0.54 | 10.66% | 1.58% | 5.90% | 20.44% |
| iShares MSCI EAFE ETF | EFA | 0.89 | 0.85 | 0.79 | 1.00 | 0.97 | 0.88 | 0.15 | -0.32 | -0.23 | -0.25 | 0.30 | 0.43 | 0.71 | 0.12 | 0.62 | 2.89% | 1.47% | 5.26% | 18.22% |
| iShares MSCI EAFE Small-Cap ETF | SCZ | 0.88 | 0.86 | 0.80 | 0.97 | 1.00 | 0.87 | 0.13 | -0.36 | -0.26 | -0.27 | 0.32 | 0.41 | 0.69 | 0.14 | 0.63 | 5.47% | 1.39% | 5.68% | 19.67% |
| iShares MSCI Emerging Markets ETF | EEM | 0.80 | 0.79 | 0.73 | 0.88 | 0.87 | 1.00 | 0.16 | -0.28 | -0.21 | -0.24 | 0.37 | 0.42 | 0.64 | 0.25 | 0.63 | 2.02% | 1.89% | 6.37% | 22.06% |
| iShares Core US Aggregate Bond ETF | AGG | 0.05 | 0.02 | -0.04 | 0.15 | 0.13 | 0.16 | 1.00 | 0.53 | 0.83 | 0.79 | 0.76 | 0.83 | 0.34 | 0.42 | -0.07 | 3.85% | 0.32% | 1.09% | 3.77% |
| iShares 1-3 Year Treasury Bond ETF | SHY | -0.39 | -0.43 | -0.43 | -0.32 | -0.36 | -0.28 | 0.53 | 1.00 | 0.74 | 0.56 | 0.33 | 0.20 | -0.17 | 0.33 | -0.29 | 1.51% | 0.08% | 0.34% | 1.17% |
| iShares 7-10 Year Treasury Bond ETF | IEF | -0.31 | -0.35 | -0.39 | -0.23 | -0.26 | -0.21 | 0.83 | 0.74 | 1.00 | 0.91 | 0.61 | 0.48 | -0.02 | 0.36 | -0.32 | 4.38% | 0.42% | 1.82% | 6.31% |
| iShares 20+ Year Treasury Bond ETF | TLT | -0.31 | -0.35 | -0.38 | -0.25 | -0.27 | -0.24 | 0.79 | 0.56 | 0.91 | 1.00 | 0.51 | 0.48 | -0.00 | 0.25 | -0.37 | 6.26% | 0.95% | 4.05% | 14.01% |
| iShares TIPS Bond ETF | TIP | 0.24 | 0.23 | 0.14 | 0.30 | 0.32 | 0.37 | 0.76 | 0.33 | 0.61 | 0.51 | 1.00 | 0.66 | 0.39 | 0.53 | 0.28 | 3.97% | 0.40% | 1.63% | 5.66% |
| iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.34 | 0.33 | 0.26 | 0.43 | 0.41 | 0.42 | 0.83 | 0.20 | 0.48 | 0.48 | 0.66 | 1.00 | 0.47 | 0.30 | 0.15 | 5.73% | 0.56% | 2.23% | 7.73% |
| Vanguard Real Estate ETF | VNQ | 0.74 | 0.76 | 0.74 | 0.71 | 0.69 | 0.64 | 0.34 | -0.17 | -0.02 | -0.00 | 0.39 | 0.47 | 1.00 | 0.09 | 0.37 | 8.19% | 2.05% | 6.69% | 23.17% |
| SPDR Gold Shares | GLD | 0.05 | 0.06 | -0.02 | 0.12 | 0.14 | 0.25 | 0.42 | 0.33 | 0.36 | 0.25 | 0.53 | 0.30 | 0.09 | 1.00 | 0.31 | 5.14% | 1.13% | 5.12% | 17.74% |
| Invesco DB Commodity Tracking | DBC | 0.56 | 0.59 | 0.54 | 0.62 | 0.63 | 0.63 | -0.07 | -0.29 | -0.32 | -0.37 | 0.28 | 0.15 | 0.37 | 0.31 | 1.00 | -2.88% | 1.22% | 5.70% | 19.74% |