Commonality components have been defined as a method of partitioning squared multiple correlations. In this paper, the asymptotic joint distribution of all 2k − 1 squared multiple correlations is derived. The asymptotic joint distribution of linear combinations of squared multiple correlations is obtained as a corollary. In particular, the asymptotic joint distribution of commonality components are derived as a special case. Simultaneous and nonsimultaneous asymptotic confidence intervals for commonality components can be obtained from this distribution.