Asset Correlation Matrix
Correlation measures how closely two asset classes' monthly returns move together, from -1 (perfectly opposite) to +1 (perfectly together). Combining low- or negatively-correlated assets is the mathematical basis for diversification — see the Diversification guide.
| US Large Cap | US Large Value | US Small Cap | US Small Cap Value | International Developed | Emerging Markets | Total International | US Total Market | US Long-Term Bonds | US Intermediate Bonds | US Short-Term Bonds | US Total Bond Market | TIPS (Inflation-Protected) | Gold | Commodities | REITs | Cash | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US Large Cap | 1.00 | 0.94 | 0.87 | 0.89 | 0.88 | 0.75 | 0.86 | 1.00 | -0.08 | -0.06 | -0.10 | 0.26 | 0.35 | 0.08 | 0.46 | 0.75 | -0.03 |
| US Large Value | 0.94 | 1.00 | 0.89 | 0.93 | 0.88 | 0.72 | 0.86 | 0.94 | -0.13 | -0.12 | -0.13 | 0.20 | 0.28 | 0.06 | 0.48 | 0.77 | -0.07 |
| US Small Cap | 0.87 | 0.89 | 1.00 | 0.98 | 0.78 | 0.67 | 0.77 | 0.90 | -0.14 | -0.14 | -0.15 | 0.19 | 0.25 | 0.00 | 0.43 | 0.75 | -0.09 |
| US Small Cap Value | 0.89 | 0.93 | 0.98 | 1.00 | 0.83 | 0.71 | 0.82 | 0.92 | -0.14 | -0.13 | -0.15 | 0.20 | 0.27 | 0.04 | 0.46 | 0.80 | -0.08 |
| International Developed | 0.88 | 0.88 | 0.78 | 0.83 | 1.00 | 0.86 | 0.99 | 0.88 | -0.04 | 0.00 | -0.00 | 0.34 | 0.40 | 0.21 | 0.52 | 0.73 | -0.01 |
| Emerging Markets | 0.75 | 0.72 | 0.67 | 0.71 | 0.86 | 1.00 | 0.92 | 0.75 | -0.08 | -0.05 | -0.06 | 0.28 | 0.38 | 0.31 | 0.56 | 0.63 | -0.02 |
| Total International | 0.86 | 0.86 | 0.77 | 0.82 | 0.99 | 0.92 | 1.00 | 0.87 | -0.05 | -0.01 | -0.02 | 0.33 | 0.41 | 0.24 | 0.55 | 0.72 | -0.01 |
| US Total Market | 1.00 | 0.94 | 0.90 | 0.92 | 0.88 | 0.75 | 0.87 | 1.00 | -0.09 | -0.08 | -0.11 | 0.26 | 0.35 | 0.08 | 0.46 | 0.76 | -0.04 |
| US Long-Term Bonds | -0.08 | -0.13 | -0.14 | -0.14 | -0.04 | -0.08 | -0.05 | -0.09 | 1.00 | 0.92 | 0.59 | 0.83 | 0.59 | 0.26 | -0.33 | 0.15 | -0.00 |
| US Intermediate Bonds | -0.06 | -0.12 | -0.14 | -0.13 | 0.00 | -0.05 | -0.01 | -0.08 | 0.92 | 1.00 | 0.77 | 0.88 | 0.69 | 0.35 | -0.27 | 0.13 | 0.04 |
| US Short-Term Bonds | -0.10 | -0.13 | -0.15 | -0.15 | -0.00 | -0.06 | -0.02 | -0.11 | 0.59 | 0.77 | 1.00 | 0.68 | 0.50 | 0.34 | -0.20 | 0.01 | 0.32 |
| US Total Bond Market | 0.26 | 0.20 | 0.19 | 0.20 | 0.34 | 0.28 | 0.33 | 0.26 | 0.83 | 0.88 | 0.68 | 1.00 | 0.78 | 0.40 | -0.07 | 0.42 | 0.06 |
| TIPS (Inflation-Protected) | 0.35 | 0.28 | 0.25 | 0.27 | 0.40 | 0.38 | 0.41 | 0.35 | 0.59 | 0.69 | 0.50 | 0.78 | 1.00 | 0.47 | 0.22 | 0.45 | 0.04 |
| Gold | 0.08 | 0.06 | 0.00 | 0.04 | 0.21 | 0.31 | 0.24 | 0.08 | 0.26 | 0.35 | 0.34 | 0.40 | 0.47 | 1.00 | 0.29 | 0.13 | 0.20 |
| Commodities | 0.46 | 0.48 | 0.43 | 0.46 | 0.52 | 0.56 | 0.55 | 0.46 | -0.33 | -0.27 | -0.20 | -0.07 | 0.22 | 0.29 | 1.00 | 0.31 | 0.03 |
| REITs | 0.75 | 0.77 | 0.75 | 0.80 | 0.73 | 0.63 | 0.72 | 0.76 | 0.15 | 0.13 | 0.01 | 0.42 | 0.45 | 0.13 | 0.31 | 1.00 | -0.04 |
| Cash | -0.03 | -0.07 | -0.09 | -0.08 | -0.01 | -0.02 | -0.01 | -0.04 | -0.00 | 0.04 | 0.32 | 0.06 | 0.04 | 0.20 | 0.03 | -0.04 | 1.00 |
Based on historical data. Past performance does not guarantee future results. This site is for educational purposes only and does not constitute investment advice.