Correlation matrix
after an in-house wealth-planning tool
Correlation matrix
Strongest JP Eq × Gl Eq0.71· most diversifying JP Bd × JP Eq−0.22
Cash
JP Bd
Gl Bd
JP Eq
Gl Eq
REIT
Cmdty
Alts
Cash
—
0.15
0.05
−0.08
−0.10
−0.05
−0.03
−0.06
JP Bonds
0.15
—
0.42
−0.22
−0.18
0.10
−0.15
−0.08
Global Bonds
0.05
0.42
—
−0.05
0.12
0.25
0.08
0.15
JP Equity
−0.08
−0.22
−0.05
—
0.71
0.58
0.34
0.62
Global Equity
−0.10
−0.18
0.12
0.71
—
0.65
0.45
0.70
REITs
−0.05
0.10
0.25
0.58
0.65
—
0.30
0.48
Commodities
−0.03
−0.15
0.08
0.34
0.45
0.30
—
0.40
Alternatives
−0.06
−0.08
0.15
0.62
0.70
0.48
0.40
—
−1
diagonal = self (1.00)+1
Trailing return correlations · 10-year window