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	0.09	0.45	0.74	-0.04
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	0.47	0.76	-0.07
US Small Cap	0.87	0.89	1.00	0.98	0.78	0.67	0.77	0.90	-0.14	-0.13	-0.15	0.19	0.25	0.00	0.42	0.75	-0.08
US Small Cap Value	0.89	0.93	0.98	1.00	0.82	0.71	0.82	0.92	-0.14	-0.13	-0.15	0.20	0.28	0.04	0.45	0.80	-0.07
International Developed	0.88	0.88	0.78	0.82	1.00	0.86	0.99	0.88	-0.03	0.01	-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	0.55	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	0.25	0.54	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	-0.07	-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	-0.03	-0.08	-0.05	-0.09	1.00	0.92	0.58	0.83	0.59	0.26	-0.33	0.15	-0.01
US Intermediate Bonds	-0.06	-0.12	-0.13	-0.13	0.01	-0.05	-0.01	-0.07	0.92	1.00	0.77	0.88	0.69	0.34	-0.28	0.13	0.04
US Short-Term Bonds	-0.10	-0.13	-0.15	-0.15	-0.00	-0.06	-0.02	-0.11	0.58	0.77	1.00	0.68	0.50	0.33	-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	-0.08	0.42	0.05
TIPS (Inflation-Protected)	0.35	0.28	0.25	0.28	0.40	0.38	0.41	0.35	0.59	0.69	0.50	0.78	1.00	0.46	0.21	0.45	0.02
Gold	0.09	0.06	0.00	0.04	0.21	0.31	0.25	0.08	0.26	0.34	0.33	0.40	0.46	1.00	0.29	0.13	0.18
Commodities	0.45	0.47	0.42	0.45	0.52	0.55	0.54	0.46	-0.33	-0.28	-0.20	-0.08	0.21	0.29	1.00	0.31	0.03
REITs	0.74	0.76	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	-0.04	-0.07	-0.08	-0.07	-0.01	-0.02	-0.01	-0.04	-0.01	0.04	0.32	0.05	0.02	0.18	0.03	-0.04	1.00

Hypothetical historical performance based on backtested data. Past performance does not guarantee future results. This site is for educational purposes only and does not constitute investment advice. Full disclaimer