Table 1 – Correlations in Morningstar’s Mutual Fund Database
Category |
Average Correlation |
Large Growth |
0.94 |
Mid-Cap Growth |
0.94 |
Small Growth |
0.95 |
Large Blend |
0.95 |
Mid-Cap Blend |
0.93 |
Small Blend |
0.96 |
Large Value |
0.94 |
Mid-Cap Value |
0.94 |
Small Value |
0.95 |
Specialty-Precious Metals |
0.98 |
Specialty-Natural Res |
0.91 |
Specialty-Technology |
0.95 |
Specialty-Utilities |
0.95 |
Specialty-Health |
0.89 |
Specialty-Financial |
0.89 |
Specialty-Real Estate |
0.96 |
Specialty-Communications |
0.87 |
Conservative Allocation |
0.88 |
Moderate Allocation |
0.93 |
Convertibles |
0.94 |
World Stock |
0.94 |
Europe Stock |
0.94 |
Diversified Pacific/Asia |
0.95 |
Pacific/Asia ex-Japan Stk |
0.93 |
Japan Stock |
0.94 |
Diversified Emerging Mkts |
0.98 |
Latin America Stock |
1.00 |
World Allocation |
0.87 |
Foreign Large Growth |
0.97 |
Foreign Large Blend |
0.98 |
Foreign Large Value |
0.95 |
Foreign Small/Mid Growth |
0.95 |
Foreign Small/Mid Value |
0.95 |
Bear-Market |
0.74 |
Bank Loan |
0.98 |
Long Government |
0.98 |
Intermediate Government |
0.95 |
Short Government |
0.90 |
Long-Term Bond |
0.90 |
Intermediate-Term Bond |
0.91 |
Short-Term Bond |
0.81 |
Ultrashort Bond |
0.54 |
High Yield Bond |
0.96 |
Multisector Bond |
0.87 |
World Bond |
0.80 |
Muni National Long |
0.97 |
Muni National Interm |
0.98 |
Muni Single State Long |
0.98 |
Muni Single State Interm |
0.97 |
Muni National Short |
0.88 |
Muni New York Long |
0.97 |
Muni California Long |
0.98 |
Emerging Markets Bond |
0.96 |
Muni New York Int/Sh |
0.97 |
Muni California Int/Sh |
0.95 |
Muni Florida |
0.98 |
Muni Pennsylvania |
0.97 |
Muni Massachusetts |
0.98 |
Muni New Jersey |
0.96 |
Muni Ohio |
0.98 |
Muni Minnesota |
0.98 |
High Yield Muni |
0.97 |
Muni Single State Short |
0.92 |
Long-Short |
0.52 |
Target-Date 2000-2014 |
0.92 |
Target-Date 2015-2029 |
0.98 |
Target-Date 2030+ |
0.99 |
Inflation-Protected Bond |
0.98 |
Table 2 – Correlations in Morningstar’s Hedge Fund Database
|
Correlation to Category Index |
# Funds in Category |
# Funds w/ Correlation |
% Qualifying |
U.S. Equity |
0.54 |
732 |
392 |
54% |
U.S. Small Cap Equity |
0.63 |
176 |
99 |
56% |
Developed Asia Equity |
0.52 |
208 |
96 |
46% |
Europe Equity |
0.67 |
347 |
182 |
52% |
Emerging Market Equity |
0.69 |
362 |
148 |
41% |
Global Equity |
0.64 |
311 |
154 |
50% |
Short Equity |
0.10 |
44 |
20 |
45% |
Global Debt |
0.46 |
289 |
145 |
50% |
Convertible Arbitrage |
0.63 |
118 |
69 |
58% |
Equity Arbitrage |
0.31 |
297 |
134 |
45% |
Debt Arbitrage |
0.25 |
163 |
96 |
59% |
Global Trend |
0.56 |
286 |
156 |
55% |
Global Non-Trend |
0.31 |
371 |
174 |
47% |
Distressed Securities |
0.59 |
126 |
77 |
61% |
Corporate Actions |
0.60 |
219 |
132 |
60% |
Multi-strategy |
0.50 |
331 |
171 |
52% |
Fund of Funds |
0.76 |
3216 |
1734 |
54% |
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