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 - 10/31/2022 based on monthly returns.

Note: The time period was constrained by the available data for iShares MSCI EAFE Small-Cap ETF (SCZ) [Jan 2008 - Oct 2022].

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

0.90

0.89

0.88

0.77

0.17

-0.21

-0.18

-0.21

0.33

0.41

0.75

0.06

0.52

8.91%

1.30%

4.69%

16.24%

iShares Core S&P Mid-Cap ETF

IJH

0.94

1.00

0.97

0.85

0.87

0.77

0.12

-0.26

-0.23

-0.26

0.32

0.39

0.76

0.07

0.56

8.91%

1.48%

5.55%

19.21%

iShares Core S&P Small-Cap ETF

IJR

0.90

0.97

1.00

0.81

0.72

0.07

-0.25

-0.27

-0.29

0.24

0.33

0.75

-0.01

0.52

9.16%

1.58%

5.98%

20.71%

iShares MSCI EAFE ETF

EFA

0.89

0.85

0.81

1.00

0.97

0.87

0.23

-0.17

-0.14

-0.18

0.36

0.47

0.72

0.13

0.60

1.08%

1.46%

5.28%

18.30%

iShares MSCI EAFE Small-Cap ETF

SCZ

0.88

0.87

0.81

0.97

1.00

0.86

0.23

-0.18

-0.14

-0.19

0.39

0.46

0.71

0.15

0.60

2.68%

1.38%

5.72%

19.81%

iShares MSCI Emerging Markets ETF

EEM

0.77

0.72

0.87

0.86

1.00

0.22

-0.16

-0.13

-0.18

0.39

0.44

0.64

0.25

0.60

-0.60%

1.86%

6.26%

21.67%

iShares Core US Aggregate Bond ETF

AGG

0.17

0.12

0.07

0.23

0.22

1.00

0.64

0.85

0.80

0.77

0.86

0.36

0.37

-0.09

2.39%

0.34%

1.23%

4.27%

iShares 1-3 Year Treasury Bond ETF

SHY

-0.21

-0.26

-0.25

-0.17

-0.18

-0.16

0.64

1.00

0.76

0.58

0.42

0.35

-0.08

0.29

-0.27

1.03%

0.08%

0.38%

1.33%

iShares 7-10 Year Treasury Bond ETF

IEF

-0.18

-0.23

-0.27

-0.14

-0.13

0.85

0.76

1.00

0.91

0.64

0.56

0.04

0.35

-0.31

2.77%

0.44%

1.91%

6.62%

iShares 20+ Year Treasury Bond ETF

TLT

-0.21

-0.26

-0.29

-0.18

-0.19

-0.18

0.80

0.58

0.91

1.00

0.54

0.53

0.04

0.26

-0.37

3.07%

0.97%

4.12%

14.29%

iShares TIPS Bond ETF

TIP

0.33

0.32

0.24

0.36

0.39

0.77

0.42

0.64

0.54

1.00

0.70

0.43

0.49

0.25

2.90%

0.41%

1.75%

6.07%

iShares iBoxx $ Invmt Grade Corp Bd ETF

LQD

0.41

0.39

0.33

0.47

0.46

0.44

0.86

0.35

0.56

0.53

0.70

1.00

0.49

0.28

0.12

3.59%

0.58%

2.38%

8.24%

Vanguard Real Estate ETF

VNQ

0.75

0.76

0.75

0.72

0.71

0.64

0.36

-0.08

0.04

0.43

0.49

1.00

0.11

0.36

6.32%

2.01%

6.73%

23.33%

SPDR Gold Shares

GLD

0.06

0.07

-0.01

0.13

0.15

0.25

0.37

0.29

0.35

0.26

0.49

0.28

0.11

1.00

0.30

4.21%

1.12%

4.99%

17.30%

Invesco DB Commodity Tracking

DBC

0.52

0.56

0.52

0.60

-0.09

-0.27

-0.31

-0.37

0.25

0.12

0.36

0.30

1.00

-1.23%

1.26%

5.75%

19.93%

Notes on results:

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.