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Correlation Matrix for the 14 Asset Classes

 

 

U.S. Lg Cap Growth

U.S. Lg Cap Value

U.S. Mid Cap Growth

U.S. Mid Cap Growth

U.S. Sm Cap Growth

U.S. Sm Cap Val

Foreign Industrialzed Mkts Stocks

Emerging Mkts Stks

U.S.

Investment Grade Bonds

U.S. High Yield Bonds

Non-U.S. Bonds

Cash

Commodities

Real Estate

U.S. Lg Cap Growth

1.000

0.848

0.896

0.740

0.856

0.718

0.582

0.517

0.189

0.528

0.005

0.023

0.124

0.444

U.S. Lg Cap Val

0.848

1.000

0.778

0.899

0.743

0.844

0.586

0.537

0.230

0.577

-0.008

0.052

0.141

0.588

U.S. Mid Cap Growth

0.896

0.778

1.000

0.776

0.980

0.792

0.558

0.559

0.125

0.562

-0.019

-0.019

0.162

0.515

U.S. Mid Cap Val

0.740

0.899

0.776

1.000

0.767

0.957

0.536

0.512

0.212

0.620

-0.015

-0.002

0.150

0.678

U.S. Sm Cap Growth

0.856

0.743

0.980

0.767

1.000

0.805

0.539

0.560

0.097

0.581

-0.036

-0.035

0.161

0.541

U.S. Sm Cap Val

0.718

0.844

0.792

0.957

0.805

1.000

0.516

0.517

0.160

0.644

-0.032

-0.013

0.157

0.701

Foreign Industrialzed Mkts Stocks

0.582

0.586

0.558

0.536

0.539

0.516

1.000

0.667

0.170

0.398

0.288

0.052

0.181

0.389

Emerging Mkts Stks

0.517

0.537

0.559

0.512

0.560

0.517

0.667

1.000

0.036

0.432

0.025

0.003

0.201

0.343

U.S. Investment Grade Bonds

0.189

0.230

0.125

0.212

0.097

0.160

0.170

0.036

1.000

0.382

0.447

0.237

-0.107

0.157

U.S. High Yield Bonds

0.528

0.577

0.562

0.620

0.581

0.644

0.398

0.432

0.382

1.000

0.082

0.010

0.039

0.499

Non-U.S. Bonds

0.005

-0.008

-0.019

-0.015

-0.036

-0.032

0.288

0.025

0.447

0.082

1.000

0.229

-0.076

-0.001

Cash

0.023

0.052

-0.019

-0.002

-0.035

-0.013

0.052

0.003

0.237

0.010

0.229

1.000

-0.163

-0.050

Commodities

0.124

0.141

0.162

0.150

0.161

0.157

0.181

0.201

-0.107

0.039

-0.076

-0.163

1.000

0.159

Real Estate

0.444

0.588

0.515

0.678

0.541

0.701

0.389

0.343

0.157

0.499

-0.001

-0.050

0.159

1.000