Asset Class Correlations

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.

Correlation Results

Asset class correlations for time period 01/01/2008 - 06/30/2021 based on monthly returns.

Asset Correlations
NameTickerIVVIJHIJREFASCZEEMAGGSHYIEFTLTTIPLQDVNQGLDDBCAnnualized ReturnDaily Standard DeviationMonthly Standard DeviationAnnualized Standard Deviation
iShares Core S&P 500 ETFIVV1.000.940.900.890.880.800.04-0.40-0.32-0.320.240.340.740.040.5710.52%1.30%4.53%15.71%
iShares Core S&P Mid-Cap ETFIJH0.941.000.970.850.860.790.02-0.44-0.36-0.350.230.330.760.060.5910.52%1.48%5.46%18.92%
iShares Core S&P Small-Cap ETFIJR0.900.971.000.790.800.73-0.04-0.43-0.40-0.380.150.260.74-0.020.5511.12%1.59%5.94%20.58%
iShares MSCI EAFE ETFEFA0.890.850.791.000.970.890.15-0.32-0.24-0.260.300.420.710.120.633.03%1.48%5.30%18.36%
iShares MSCI EAFE Small-Cap ETFSCZ0.880.860.800.971.000.870.13-0.36-0.26-0.280.320.410.690.140.645.55%1.40%5.71%19.80%
iShares MSCI Emerging Markets ETFEEM0.800.790.730.890.871.000.17-0.29-0.21-0.240.390.420.650.250.642.75%1.90%6.40%22.16%
iShares Core US Aggregate Bond ETFAGG0.040.02-0.040.150.130.171.000.530.830.790.760.830.330.41-0.063.92%0.33%1.09%3.78%
iShares 1-3 Year Treasury Bond ETFSHY-0.40-0.44-0.43-0.32-0.36-0.290.531.000.740.560.320.20-0.170.32-0.291.53%0.08%0.34%1.18%
iShares 7-10 Year Treasury Bond ETFIEF-0.32-0.36-0.40-0.24-0.26-0.210.830.741.000.910.600.48-0.030.36-0.314.46%0.42%1.83%6.33%
iShares 20+ Year Treasury Bond ETFTLT-0.32-0.35-0.38-0.26-0.28-0.240.790.560.911.000.510.48-0.010.25-0.376.35%0.95%4.07%14.08%
iShares TIPS Bond ETFTIP0.240.230.150.300.320.390.760.320.600.511.000.660.380.520.283.92%0.40%1.63%5.66%
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.340.330.260.420.410.420.830.200.480.480.661.000.470.290.165.87%0.57%2.25%7.78%
Vanguard Real Estate ETFVNQ0.740.760.740.710.690.650.33-0.17-0.03-0.010.380.471.000.090.388.30%2.06%6.73%23.30%
SPDR Gold SharesGLD0.040.06-0.020.120.140.250.410.320.360.250.520.290.091.000.315.30%1.14%5.16%17.87%
Invesco DB Commodity TrackingDBC0.570.590.550.630.640.64-0.06-0.29-0.31-0.370.280.160.380.311.00-3.27%1.22%5.73%19.86%
Notes on results: