Stay Connected!
ETF News Daily
ETF News Weekly
Sign up to receive ETF.com's newsletters.
U.S. Edition
Search Ticker

Asset Class Correlations: A Different Take

Share:

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.

 

 

Discussion

Post a Comment
Comment:
(Max. 2,000 characters)
Name:
E-mail:
Home page: (optional)
CAPTCHA Image Reload Different Image
Type in the
displayed
characters:
Email follow-up comments to my e-mail address SUBMIT