Asset Class Correlations

Model Configuration

Correlation Results

Note: The time period was constrained by the available data for iShares MSCI EAFE Small-Cap ETF (SCZ) [Jan 2008 - May 2023].

Asset Class Correlations

Asset Correlations
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	0.77	0.21	-0.15	-0.13	-0.16	0.35	0.43	0.75	0.08	0.52	9.17%	1.29%	4.67%	16.17%
iShares Core S&P Mid-Cap ETF	IJH	0.94	1.00	0.97	0.85	0.86	0.77	0.16	-0.22	-0.19	-0.22	0.33	0.40	0.77	0.08	0.56	8.56%	1.47%	5.53%	19.15%
iShares Core S&P Small-Cap ETF	IJR	0.89	0.97	1.00	0.79	0.80	0.71	0.09	-0.23	-0.24	-0.26	0.24	0.33	0.75	-0.00	0.52	8.45%	1.57%	5.96%	20.64%
iShares MSCI EAFE ETF	EFA	0.89	0.85	0.79	1.00	0.97	0.88	0.29	-0.09	-0.07	-0.12	0.38	0.50	0.72	0.16	0.59	2.22%	1.44%	5.33%	18.47%
iShares MSCI EAFE Small-Cap ETF	SCZ	0.88	0.86	0.80	0.97	1.00	0.86	0.27	-0.12	-0.09	-0.14	0.40	0.49	0.71	0.17	0.59	3.47%	1.37%	5.72%	19.82%
iShares MSCI Emerging Markets ETF	EEM	0.77	0.77	0.71	0.88	0.86	1.00	0.28	-0.08	-0.07	-0.12	0.41	0.47	0.64	0.28	0.59	0.24%	1.84%	6.31%	21.86%
iShares Core US Aggregate Bond ETF	AGG	0.21	0.16	0.09	0.29	0.27	0.28	1.00	0.67	0.86	0.80	0.77	0.88	0.38	0.41	-0.06	2.66%	0.34%	1.30%	4.49%
iShares 1-3 Year Treasury Bond ETF	SHY	-0.15	-0.22	-0.23	-0.09	-0.12	-0.08	0.67	1.00	0.77	0.60	0.45	0.41	-0.04	0.33	-0.23	1.13%	0.09%	0.41%	1.41%
iShares 7-10 Year Treasury Bond ETF	IEF	-0.13	-0.19	-0.24	-0.07	-0.09	-0.07	0.86	0.77	1.00	0.91	0.66	0.59	0.07	0.38	-0.28	3.01%	0.44%	1.95%	6.76%
iShares 20+ Year Treasury Bond ETF	TLT	-0.16	-0.22	-0.26	-0.12	-0.14	-0.12	0.80	0.60	0.91	1.00	0.56	0.56	0.07	0.29	-0.34	3.52%	0.98%	4.16%	14.40%
iShares TIPS Bond ETF	TIP	0.35	0.33	0.24	0.38	0.40	0.41	0.77	0.45	0.66	0.56	1.00	0.70	0.44	0.51	0.26	2.95%	0.41%	1.75%	6.07%
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	0.43	0.40	0.33	0.50	0.49	0.47	0.88	0.41	0.59	0.56	0.70	1.00	0.50	0.32	0.13	4.00%	0.58%	2.45%	8.49%
Vanguard Real Estate ETF	VNQ	0.75	0.77	0.75	0.72	0.71	0.64	0.38	-0.04	0.07	0.07	0.44	0.50	1.00	0.12	0.37	5.99%	1.99%	6.70%	23.20%
SPDR Gold Shares	GLD	0.08	0.08	-0.00	0.16	0.17	0.28	0.41	0.33	0.38	0.29	0.51	0.32	0.12	1.00	0.30	5.28%	1.11%	5.00%	17.32%
Invesco DB Commodity Tracking	DBC	0.52	0.56	0.52	0.59	0.59	0.59	-0.06	-0.23	-0.28	-0.34	0.26	0.13	0.37	0.30	1.00	-1.98%	1.25%	5.68%	19.67%
Asset correlations for time period 01/01/2008 - 05/31/2023 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.

Asset Class Correlations

Correlation Overview

Model Configuration

Correlation Results

Asset Class Correlations