Correlation

This tool shows how the rates market correlates with ten major asset classes, as a grid. Rows are the Rates Leg: six yield tenors (3 Mo, 2 Yr, 5 Yr, 10 Yr, 20 Yr, 30 Yr) or the six Treasury ETFs those tenors stand in for. Columns are the Asset Leg: SPY, QQQ, EFA, EEM, GLD, USO, DBC, UUP, VNQ, and HYG, covering US large-cap and tech equities, developed and emerging international equities, gold, oil, broad commodities, the dollar, real estate, and high yield credit. Each cell prints the current rolling Pearson correlation between that row and that column to two decimals, colored on a fixed scale from -1 to +1, so a given color always means the same thing no matter which mode, horizon, or weighting is selected.

Controls

• Rates: toggle the row axis between Yields (default) and ETFs. Yields uses each ETF's closest-maturity tenor. ETFs uses the six Treasury ETFs directly. The two modes are never mixed in one grid.
• Horizon: the rolling-window length: 1 Mo, 3 Mo, 6 Mo, or 1 Yr of trading days. A 1 Mo window reacts fast to regime shifts but carries more noise. A 1 Yr window is stable but lags turning points.
• Weighting: Equal (default) uses a plain rolling window. Exponential weights recent observations more heavily, with a span equal to the Horizon in trading days. Both start on the same date, so switching Weighting never changes what "1 Yr" means.

Reading the Sign

In Yields mode, a row measures the day's change in yield in decimal, not its percent change, and the sign is never flipped. A positive cell means the asset rose on days the yield rose. A negative cell means the asset fell on days the yield rose.

In ETFs mode, the row is the Treasury ETF's own daily return, not the yield. Since a bond ETF's price moves inversely to its yield, the same underlying relationship flips sign: a positive cell means the asset rose on days the bond ETF price rose, which is the days the matching yield fell. Never read a cell's sign the same way across the two modes.

Which Tenor Stands In for Which ETF

What Each Asset Leg Ticker Is

How to Read It

• Hover for context: the tooltip shows the full asset name, the full ETF name in ETFs mode, and how today's reading compares with its own history, the mean and plus or minus one standard deviation of the cell's historical correlation.
• Short vs. long tenor (Yields mode): correlations typically run more negative moving from the short end (3 Mo, near zero) to the long end (20 Yr, 30 Yr), so longer-duration exposure is typically the stronger equity hedge.
• A cell's sign flipping over time: signals a shift in the prevailing macro regime, for example rates and an asset moving from offsetting each other to moving together during a rate-driven selloff.

Use Cases

• compare how each yield tenor, or Treasury ETF, co-moves with equities, gold, oil, commodities, the dollar, real estate, and high yield credit in one view.
• identify which maturity best diversifies a given asset right now.
• switch to ETFs mode to read the same relationships in return terms, when that is how the exposure is actually held.
• pair with Portfolio to size bond allocations based on current correlation structure.

Notes

• yield rows use that tenor's own daily change in yield. ETF rows and every asset column use daily simple returns on adjusted close.
• each cell trims to its own overlapping history, so a ticker with a later start date never shortens another cell's history. Treasury ETF data starts circa 2002; every asset in the grid has history to at least May 2007.
• the tooltip baseline (mean and standard deviation) is computed over each cell's entire history.

Further Reading

• Stock-Bond Correlation