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 05/01/2009 - 09/30/2020 based on monthly returns.

Note: The time period was constrained by the available data for Vanguard FTSE All-Wld ex-US SmCp ETF (VSS) [May 2009 - Sep 2020]. You can extend the backtesting period by using Vanguard FTSE All-Wld ex-US SmCp Idx Ins (VFSNX), which is the oldest share class of the fund.

Asset Correlations
Name	Ticker	VTI	VO	VB	SHY	BND	TLT	TIP	MUB	VEU	VSS	VWO	VNQ	DBC	GLD	Annualized Return	Daily Standard Deviation	Monthly Standard Deviation	Annualized Standard Deviation
Vanguard Total Stock Market ETF	VTI	-	0.97	0.95	-0.36	-0.06	-0.48	0.10	-0.02	0.86	0.86	0.76	0.69	0.58	0.12	14.83%	1.12%	4.13%	14.30%
Vanguard Mid-Cap ETF	VO	0.97	-	0.98	-0.36	-0.03	-0.45	0.11	0.03	0.84	0.85	0.76	0.74	0.55	0.13	14.32%	1.23%	4.59%	15.89%
Vanguard Small-Cap ETF	VB	0.95	0.98	-	-0.40	-0.08	-0.48	0.08	-0.01	0.81	0.83	0.73	0.71	0.56	0.10	13.34%	1.33%	5.19%	17.99%
iShares 1-3 Year Treasury Bond ETF	SHY	-0.36	-0.36	-0.40	-	0.66	0.62	0.51	0.32	-0.25	-0.27	-0.17	-0.05	-0.25	0.38	1.28%	0.06%	0.28%	0.97%
Vanguard Total Bond Market ETF	BND	-0.06	-0.03	-0.08	0.66	-	0.78	0.80	0.67	0.01	0.04	0.08	0.34	-0.12	0.45	4.16%	0.27%	0.92%	3.19%
iShares 20+ Year Treasury Bond ETF	TLT	-0.48	-0.45	-0.48	0.62	0.78	-	0.54	0.54	-0.45	-0.44	-0.37	-0.03	-0.49	0.23	7.63%	0.93%	3.71%	12.84%
iShares TIPS Bond ETF	TIP	0.10	0.11	0.08	0.51	0.80	0.54	-	0.54	0.19	0.23	0.28	0.38	0.13	0.55	4.21%	0.35%	1.31%	4.53%
iShares National Muni Bond ETF	MUB	-0.02	0.03	-0.01	0.32	0.67	0.54	0.54	-	0.07	0.08	0.09	0.36	-0.05	0.26	4.01%	0.33%	1.33%	4.62%
Vanguard FTSE All-Wld ex-US ETF	VEU	0.86	0.84	0.81	-0.25	0.01	-0.45	0.19	0.07	-	0.96	0.93	0.63	0.67	0.23	7.18%	1.24%	4.75%	16.47%
Vanguard FTSE All-Wld ex-US SmCp ETF	VSS	0.86	0.85	0.83	-0.27	0.04	-0.44	0.23	0.08	0.96	-	0.91	0.63	0.70	0.29	8.44%	1.20%	5.10%	17.67%
Vanguard FTSE Emerging Markets ETF	VWO	0.76	0.76	0.73	-0.17	0.08	-0.37	0.28	0.09	0.93	0.91	-	0.58	0.65	0.33	6.65%	1.42%	5.62%	19.47%
Vanguard Real Estate ETF	VNQ	0.69	0.74	0.71	-0.05	0.34	-0.03	0.38	0.36	0.63	0.63	0.58	-	0.31	0.18	12.79%	1.45%	4.94%	17.11%
Invesco DB Commodity Tracking	DBC	0.58	0.55	0.56	-0.25	-0.12	-0.49	0.13	-0.05	0.67	0.70	0.65	0.31	-	0.36	-3.41%	1.06%	5.08%	17.59%
SPDR Gold Shares	GLD	0.12	0.13	0.10	0.38	0.45	0.23	0.55	0.26	0.23	0.29	0.33	0.18	0.36	-	6.40%	1.01%	4.83%	16.73%

Name

Ticker

VTI

SHY

BND

TLT

TIP

MUB

VEU

VSS

VWO

VNQ

DBC

GLD

Annualized Return

Daily Standard Deviation

Monthly Standard Deviation

Annualized Standard Deviation

Vanguard Total Stock Market ETF

VTI

0.97

0.95

-0.36

-0.06

-0.48

0.10

-0.02

0.86

0.76

0.69

0.58

0.12

14.83%

1.12%

4.13%

14.30%

Vanguard Mid-Cap ETF

0.97

0.98

-0.36

-0.03

-0.45

0.11

0.03

0.84

0.85

0.76

0.74

0.55

0.13

14.32%

1.23%

4.59%

15.89%

Vanguard Small-Cap ETF

0.95

0.98

-0.40

-0.08

-0.48

0.08

-0.01

0.81

0.83

0.73

0.71

0.56

0.10

13.34%

1.33%

5.19%

17.99%

iShares 1-3 Year Treasury Bond ETF

SHY

-0.36

-0.40

0.66

0.62

0.51

0.32

-0.25

-0.27

-0.17

-0.05

-0.25

0.38

1.28%

0.06%

0.28%

0.97%

Vanguard Total Bond Market ETF

BND

-0.06

-0.03

-0.08

0.66

0.78

0.80

0.67

0.01

0.04

0.08

0.34

-0.12

0.45

4.16%

0.27%

0.92%

3.19%

iShares 20+ Year Treasury Bond ETF

TLT

-0.48

-0.45

-0.48

0.62

0.78

0.54

-0.45

-0.44

-0.37

-0.03

-0.49

0.23

7.63%

0.93%

3.71%

12.84%

iShares TIPS Bond ETF

TIP

0.10

0.11

0.08

0.51

0.80

0.54

0.19

0.23

0.28

0.38

0.13

0.55

4.21%

0.35%

1.31%

4.53%

iShares National Muni Bond ETF

MUB

-0.02

0.03

-0.01

0.32

0.67

0.54

0.07

0.08

0.09

0.36

-0.05

0.26

4.01%

0.33%

1.33%

4.62%

Vanguard FTSE All-Wld ex-US ETF

VEU

0.86

0.84

0.81

-0.25

0.01

-0.45

0.19

0.07

0.96

0.93

0.63

0.67

0.23

7.18%

1.24%

4.75%

16.47%

Vanguard FTSE All-Wld ex-US SmCp ETF

VSS

0.86

0.85

0.83

-0.27

0.04

-0.44

0.23

0.08

0.96

0.91

0.63

0.70

0.29

8.44%

1.20%

5.10%

17.67%

Vanguard FTSE Emerging Markets ETF

VWO

0.76

0.73

-0.17

0.08

-0.37

0.28

0.09

0.93

0.91

0.58

0.65

0.33

6.65%

1.42%

5.62%

19.47%

Vanguard Real Estate ETF

VNQ

0.69

0.74

0.71

-0.05

0.34

-0.03

0.38

0.36

0.63

0.58

0.31

0.18

12.79%

1.45%

4.94%

17.11%

Invesco DB Commodity Tracking

DBC

0.58

0.55

0.56

-0.25

-0.12

-0.49

0.13

-0.05

0.67

0.70

0.65

0.31

0.36

-3.41%

1.06%

5.08%

17.59%

SPDR Gold Shares

GLD

0.12

0.13

0.10

0.38

0.45

0.23

0.55

0.26

0.23

0.29

0.33

0.18

0.36

6.40%

1.01%

4.83%

16.73%

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
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.
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.
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.