The Correlation Matrix charts the correlation (r) of a set of funds, based on their performance over trailing three-, five-, or 10-year periods.
The Correlation Matrix is based on the correlation coefficient, a number between 1.0 and -1.0. If there is perfect positive linear relationship between two holdings, the correlation will be 1.0. If there is a perfect negative linear relationship between the two holdings, the correlation coefficient is -1.0. A correlation coefficient of zero means that there is no linear relationship between the funds.
In order to appear in the Correlation Matrix, funds must have at least three years of history. Use the Correlation Matrix as a diversification tool to see how closely related selected funds are to one another, or to an index, Morningstar Category, or prospectus objective.