Asset Correlations Updated yearly
How assets move together, in normal times and in crashes. Averages for ~2010-2025, crash windows, and a longest-term matrix. Or build your own with any tickers and any window.
Fixed matrices.
About this page
Correlation matrices for stocks, bonds, gold, real estate and crypto in two states of the world: normal markets and crises (2008, COVID, 2022), plus a builder to compute the matrix for any tickers you choose.
The crisis matrices carry the lesson: correlations between risk assets lurch toward 1 exactly when diversification is needed most. Assets that look independent in calm years sold off together in 2008 and March 2020; historically only Treasuries, cash and occasionally gold kept their distance.
Why do correlations rise in a crash?
Because panics are liquidity events: investors sell whatever can be sold to raise cash or meet margin calls, dragging unrelated assets down together. The fundamentals differ; the seller is the same.
What actually diversifies a stock portfolio?
Historically long-term Treasuries, cash and to a lesser degree gold and managed futures. In 2022 even Treasuries failed the job while commodities passed, a reminder that the diversifier depends on the crisis.
What does a correlation of 0.5 mean?
The two assets share about half their directional movement. Zero means no linear relationship; diversification benefits grow as correlation falls, and turn negative correlations into genuine hedges.