|Correlation Matrix
Correlation Matrix
Understand how asset classes move together to build diversified portfolios
Asset Class Correlations (20 Years)
Full cycle correlations. Green = negative correlation (diversification benefit), Red = positive correlation (move together)
| US Equities | International Equities | Emerging Markets | US Bonds | Treasury Bonds | Corporate Bonds | Gold | REITs | Commodities | Cash | |
|---|---|---|---|---|---|---|---|---|---|---|
| US Equities | 1.00 | 0.87 | 0.78 | -0.05 | -0.32 | 0.28 | 0.05 | 0.72 | 0.42 | -0.02 |
| International Equities | 0.87 | 1.00 | 0.85 | 0.02 | -0.25 | 0.32 | 0.12 | 0.68 | 0.48 | -0.01 |
| Emerging Markets | 0.78 | 0.85 | 1.00 | 0.08 | -0.18 | 0.35 | 0.18 | 0.62 | 0.55 | 0.02 |
| US Bonds | -0.05 | 0.02 | 0.08 | 1.00 | 0.92 | 0.88 | 0.28 | 0.15 | 0.05 | 0.12 |
| Treasury Bonds | -0.32 | -0.25 | -0.18 | 0.92 | 1.00 | 0.72 | 0.35 | -0.08 | -0.12 | 0.18 |
| Corporate Bonds | 0.28 | 0.32 | 0.35 | 0.88 | 0.72 | 1.00 | 0.15 | 0.38 | 0.22 | 0.08 |
| Gold | 0.05 | 0.12 | 0.18 | 0.28 | 0.35 | 0.15 | 1.00 | 0.12 | 0.42 | 0.05 |
| REITs | 0.72 | 0.68 | 0.62 | 0.15 | -0.08 | 0.38 | 0.12 | 1.00 | 0.35 | 0.02 |
| Commodities | 0.42 | 0.48 | 0.55 | 0.05 | -0.12 | 0.22 | 0.42 | 0.35 | 1.00 | 0.02 |
| Cash | -0.02 | -0.01 | 0.02 | 0.12 | 0.18 | 0.08 | 0.05 | 0.02 | 0.02 | 1.00 |
Strong Negative
Strong Positive