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Asset Class Correlations: A Different Take
Written by Herbert Mayo, Shane Mullin, Stephanie Joyce   
Tuesday, 26 May 2009 22:11
Page 3 of 4

 

Table 1: Correlation Coefficients Between S&P 500 and Selected ETFs

Symbol SPY IVV SSO
SPDR S&P 500 SPY 1.000
iShares S&P 500 IVV 0.991 1.000
Ultra S&P500 ProShares SSO 0.993 0.995 1.000
Health
Vanguard Health Care VHT 0.837 0.831 0.846
iShares Dow Jones US Healthcare IYH 0.830 0.824 0.837
PowerShares Dynamic Healthcare PTH 0.849 0.842 0.837
Ultra Health Care ProShares RXL 0.845 0.836 0.838
First Trust Health Care AlphaDEX FXH 0.806 0.819 0.820
Natural Resources
iShares S&P North Amer Natural Resources IGE 0.467 0.458 0.510
MKT Vectors Gib Alternative Energy GEX 0.821 0.817 0.824
PowerShares Global Clean Energy PBD 0.833 0.822 0.832
BearLinx Alerian MLP Select Index BSR 0.687 0.634 0.647
WisdomTree International Energy DKA 0.780 0.773 0.779
Real Estate
SPDR DJ Wilshire REIT RWR 0.601 0.610 0.824
Vanguard REIT Index VNQ 0.770 0.792 0.811
Ultra Real Estate ProShares URE 0.790 0.818 0.820
iShares Dow Jones US Real Estate IYR 0.663 0.653 0.823
First Trust S&P REIT FRI 0.754 0.783 0.783
Diversified Emerging Markets
iShares MSCI South Africa Index EZA 0.587 0.585 0.603
BLDRS Emerging Markets 50 ADR Index ADRE 0.617 0.617 0.594
Vanguard Emerging Markets Stock VWO 0.703 0.707 0.692
SPDR S&P Emerging Markets GMM 0.869 0.864 0.868
iShares MSCI Emerging Markets Index EEM 0.506 0.509 0.590
World Stock
iShares S&P Global 100 Index IOO 0.957 0.957 0.967
iShares MSCI Kokusai Index TOK 0.916 0.925 0.928
First Trust DJ Global Select Dividend FGD 0.781 0.778 0.777
SPDR DJ Global Titans DGT 0.940 0.939 0.951
ClaymoreRobb Report Global Luxury ROB 0.873 0.869 0.875
Precious Metals
PowerShares DB Precious Metals DBP -0.027 -0.020 -0.018
PowerShares DB Gold DGL -0.085 -0.078 -0.076
iShares Silver Trust SLV 0.101 0.091 0.093
PowerShares DB Silver DBS 0.165 0.160 0.168
Market Vectors Gold Miners GDX 0.278 0.282 0.282


Table 2: Correlation Coefficients Between Dow Jones Industrials and Selected ETFs

Symbol IYY DDM
iShares Dow Jones US Index IYY 1.000
ProShares Ultra Dow30 DDM 0.963 1.000
Financials
iShares Dow Jones US Financial Sector IYF 0.858 0.858
ProShares Ultra Financials UYG 0.906 0.866
Proshares UltraShort Financials SKF -0.876 -0.840
Currencies
CurrencyShares Euro Trust FXE 0.310 0.253
CurrencyShares Japanese Yen Trust FXY -0.491 -0.534
CurrencyShares British Pound Sterling Trust FXB 0.351 0.335
ProShares Ultra Yen YCL -0.081 -0.175
ProShares Ultra Euro ULE 0.322 0.256
US Treasury
iShares Barclays 1-3 Year Treasury Bond SHY -0.305 -0.345
iShares Barclays 7-10 Year Treasury Bond IEF -0.270 -0.274
iShares Barclays Short Treasury Bond SHV -0.198 -0.171
iShare Barclays 20+ Year Treasury Bond TLT -0.284 -0.275
ProShares UltraShort 20+ Year Treasury TBT 0.262 0.291
Asian Markets
iShares MSCI Japan EWJ 0.622 0.774
iShares Malaysia EWM 0.419 0.504
iShares MSCI South Korea EWY 0.666 0.752
iShares MSCI Mexico EWW 0.753 0.855
ProShares UltraShort FTSE/Xinhua China FPX -0.665 -0.667
Small Cap
ProShares Ultra Small Cap SAA 0.941 0.906
ProShares Ultra Russell 2000 UWM 0.948 0.902
iShares Morningstar Small Core JKJ 0.965 0.919
iShares S&P SmallCap 600 ITJ 0.919 0.912
ProShares Short Russell 2000 RWM -0.828 -0.801
Utilities
SPDRR Utilities Select XLU 0.628 0.697
ProShares Ultra Utilities UPW 0.786 0.756
Vanguard Utilities VPU 0.751 0.748
iShares S&P Global Utilities JXI 0.766 0.723
ProShares UltraShort Utilities SDP -0.676 -0.662
Technology
iShares Dow Jones US Technology IYM 0.779 0.802
iShares S&P North American Technology IGM 0.828 0.890
iShares S&P Global Technology IXN 0.820 0.899
ProShares Ultra Technology ROM 0.926 0.908
ProShares UltraShort Technology REW -0.873 -0.863


Table 3 Correlation Coefficients Between Precious Metals and Various ETFs

Precious Metals ETFs DBP DGL SLV DBS GDX
PowerShares DB Precious Metals DBP 1.000
PowerShares DB Gold DGL 0.985 1.000
iShares Silver Trust SLV 0.549 0.519 1.000
PowerShares DB Silver DBS 0.890 0.821 0.609 1.000
Market Vectors Gold Miners GDX 0.817 0.790 0.528 0.764 1.000
Precious Metals ETFs and Real Estate ETFs
SPDR DJ Wilshire REIT RWR 0.009 -0.047 0.061 0.123 0.273
Vanguard REIT Index VNQ 0.012 -0.041 0.059 0.121 0.271
Ultra Real Estate ProShares URE 0.009 -0.045 0.055 0.125 0.278
iShares Dow Jones US Real Estate IRY 0.018 -0.038 0.065 0.125 0.279
First Trust S&P REIT FRI 0.019 -0.037 0.055 0.125 0.269
Precious Metals ETFs and Health ETFs
Vanguard Health Care VHT -0.060 -0.105 0.036 0.152 0.150
iShares Dow Jones US Healthcare IYH -0.071 -0.114 0.034 0.137 0.132
PowerShares Dynamic Healthcare PTH 0.005 -0.046 0.038 0.208 0.198
Ultra Health Care ProShares RXL -0.082 -0.124 0.028 0.127 0.148
First Trust Health Care AlphaDEX FXH 0.010 -0.044 0.015 0.185 0.256
Precious Metals ETFs and Diversified Emerging Markets ETFs
iShares MSCI South Africa Index EZA 0.289 0.252 0.676 0.362 0.560
BLDRS Emerging Markets 50 ADR Index ADRE 0.214 0.146 0.159 0.376 0.351
Vanguard Emerging Markets Stock VWO 0.074 0.029 0.147 0.199 0.379
SPDR S&P Emerging Markets GMM 0.199 0.131 0.209 0.375 0.500
iShares MSCI Emerging Markets Index EEM 0.184 0.146 0.719 0.287 0.424
Precious Metals ETFs and Natural Resources ETFs
iShares S&P North Amer Natural Resources IGE 0.287 0.251 0.809 0.386 0.493
MKT Vectors Glb Alternative Energy GEX 0.191 0.127 0.213 0.348 0.433
PowerShares Global Clean Energy PBD 0.147 0.080 0.209 0.328 0.385
BearLinx Alerian MLP Select Index BSR -0.043 -0.091 0.078 0.178 0.073
WisdomTree International Energy DKA 0.308 0.236 0.298 0.496 0.549
Precious Metals ETFs and World Stock ETFs
iShares S&P Global 100 Index IOO 0.067 0.008 0.137 0.237 0.362
iShares MSCI Kokusai Index TOK 0.046 -0.021 0.107 0.239 0.339
First Trust DJ Global Select Dividend FGD 0.072 0.013 -0.029 0.215 0.287
SPDR DJ Global Titans DGT -0.023 -0.071 0.101 0.131 0.286
ClaymoreRobb Report Global Luxury ROB 0.079 0.029 0.119 0.240 0.386


More on this topic (What's this?)
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The Next Five Years In ETFs (Random Roger's Big Picture, 9/11/09)
Hedging Home Value With ETFs: How to Buy & Sell a Home on the NYSE (Investment U, 4/16/09)
Read more on Exchange Traded Fund (ETF) at Wikinvest
 

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