Asset Class Correlations: A Different Take
By Herbert Mayo, Shane Mullin, Stephanie Joyce | May 26, 2009

Page 4 of 4

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Table 4: Correlation Coefficients Between Real Estate and Various ETFs

Real Estate ETFs		RWR	VNQ	URE	IRY	FRI
SPDR DJ Wilshire REIT	RWR	1.000
Vanguard REIT Index	VNQ	0.757	1.000
Ultra Real Estate ProShares	URE	0.972	0.970	1.000
iShares Dow Jones US Real Estate	IRY	0.624	0.797	0.976	1.000
First Trust S&P REIT	FRI	0.936	0.932	0.930	0.930	1.000

Real Estate ETFs and Precious Metals ETFs
PowerShares DB Precious Metals	DBP	0.009	-0.047	0.061	0.123	0.273
PowerShares DB Gold	DGL	0.012	-0.041	0.059	0.121	0.271
iShares Silver Trust	SLV	0.009	-0.045	0.055	0.125	0.278
PowerShares DB Silver	DBS	0.018	-0.038	0.065	0.125	0.279
Market Vectors Gold Miners	GDX	0.019	-0.037	0.055	0.125	0.269

Real Estate ETFs and Health ETFs
Vanguard Health Care	VHT	0.500	0.644	0.036	0.527	0.610
iShares Dow Jones US Healthcare	IYH	0.500	0.641	0.520	0.609	0.132
PowerShares Dynamic Healthcare	PTH	0.690	0.667	0.678	0.679	0.657
Ultra Health Care ProShares	RXL	0.677	0.667	0.658	0.664	0.619
First Trust Health Care AlphaDEX	FXH	0.741	0.726	0.729	0.734	0.759

Real Estate ETFs and Diversified Emerging Markets ETFs
iShares MSCI South Africa Index	EZA	0.366	0.484	0.520	0.404	0.474
BLDRS Emerging Markets 50 ADR Index	ADRE	0.330	0.446	0.671	0.376	0.636
Vanguard Emerging Markets Stock	VWO	0.418	0.545	0.536	0.451	0.489
SPDR S&P Emerging Markets	GMM	0.699	0.690	0.670	0.697	0.643
iShares MSCI Emerging Markets Index	EEM	0.278	0.374	0.460	0.643	0.427

Real Estate ETFs and Natural Resources ETFs
iShares S&P North Amer Natural Resources	IGE	0.213	0.282	0.343	0.506	0.336
MKT Vectors Glb Alternative Energy	GEX	0.682	0.672	0.677	0.682	0.651
PowewrShares Global Clean Energy	PBD	0.676	0.658	0.667	0.667	0.676
BearLinx Alerian MLP Select Index	BSR	0.444	0.403	0.388	0.401	0.449
WisdomTree International Energy	DKA	0.536	0.528	0.524	0.538	0.507

Real Estate ETFs and World Stock ETFs
iShares S&P Global 100 Index	IOO	0.568	0.731	0.754	0.610	0.729
iShares MSCI Kokusai Index	TOK	0.807	0.795	0.793	0.796	0.830
First Trust DJ Global Select Dividend	FGD	0.581	0.567	0.562	0.583	0.582
SPDR DJ Global Titans	DGT	0.544	0.712	0.731	0.585	0.725
ClaymoreRobb Report Global Luxury	ROB	0.724	0.712	0.706	0.725	0.727

Table 5: Correlation Coefficients Between Currencies and Various ETFs

Currency ETFs		FXE	FXY	FXB	YCL	ULE
CurrencyShares Euro Trust	FXE	1.000
CurrencyShares Japanese Yen Trust	FXY	0.050	1.000
CurrencyShares British Pound Sterling Trust	FXB	0.564	-0.254	1.000
ProShares Ultra Yen	YCL	0.331	0.993	-0.122	1.000
ProShares Ultra Euro	ULE	0.992	0.254	0.202	0.274	1.000

Currency ETFs and Small Cap ETFs
ProShares Ultra Small Cap	SAA	0.335	-0.471	0.412	-0.117	0.408
ProShares Ultra Russell 2000	UWM	0.348	-0.470	0.425	-0.125	0.400
ProShares Short Russell 2000	RWM	-0.354	0.454	-0.331	0.167	-0.372
iShares Morningstar Small Core	JKJ	0.287	-0.412	0.331	-0.011	0.343
iShares S&P SmallCap 600	IJT	0.348	-0.490	0.385	-0.121	0.370

Currency ETFs and Utility ETFs
SPDRR Utilities Select	XLU	0.314	-0.349	0.300	0.023	0.354
ProShares Ultra Utilities	UPW	0.342	-0.372	0.343	0.013	0.395
Vanguard Utilities	VPU	0.333	-0.378	0.322	0.039	0.395
iShares S&P Global Utilities	JXI	0.468	-0.322	0.408	0.115	0.583
ProShares UltraShort Utilities	SDP	-0.295	0.351	-0.230	0.137	-0.310

Currency ETFs and Technology ETFs
iShares Dow Jones US Technology	IYM	0.495	-0.415	0.456	0.032	0.488
iShares S&P North American Technology	IGM	0.307	-0.553	0.388	-0.116	0.329
iShares S&P Global Technology	IXN	0.373	-0.539	0.425	-0.023	0.437
ProShares Ultra Technology	ROM	0.328	-0.545	0.433	-0.113	0.346
ProShares UltraShort Technology	REW	-0.359	0.549	-0.408	0.159	-0.388

Herbert Mayo is professor of finance and international business at The College of New Jersey. Shane Mullin and Stephanie Joyce are students at The College of New Jersey.