Asset Correlations between Countries

Country Correlation Matrix

The following table shows return correlations between various countries (as represented by exchange traded funds) over the past three months.

^GSPC EZA EWQ EWG EWC EWD EWU EWA EWJ EWY EWT EWZ ECH EWW EIS Return1 StdDev2
S&P 500 Index ^GSPC -1.4% 0.8%
iShares MSCI South Africa Index EZA 0.69 -8.7% 1.5%
iShares MSCI France Index Fund EWQ 0.79 0.75 -10.3% 1.1%
iShares MSCI Germany Index Fund EWG 0.80 0.73 0.91 -11.6% 1.1%
iShares MSCI Canada Index Fund EWC 0.79 0.66 0.71 0.74 -9.3% 0.9%
iShares MSCI Sweden Index EWD 0.78 0.67 0.87 0.85 0.72 -8.6% 1.1%
iShares MSCI United Kingdom Index EWU 0.75 0.69 0.85 0.80 0.75 0.83 -10.7% 0.9%
iShares MSCI Australia Index EWA 0.55 0.65 0.58 0.63 0.66 0.55 0.57 -8.5% 1.0%
iShares MSCI Japan Index Fund EWJ 0.68 0.46 0.58 0.58 0.44 0.61 0.58 0.40 -8.0% 0.8%
iShares MSCI South Korea Index EWY 0.58 0.56 0.51 0.50 0.50 0.46 0.51 0.54 0.52 -12.9% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.71 0.63 0.49 0.57 0.61 0.49 0.47 0.61 0.49 0.68 -5.4% 1.1%
iShares MSCI Brazil Index Fund EWZ 0.21 0.50 0.32 0.30 0.24 0.21 0.35 0.36 0.18 0.37 0.31 -22.1% 2.4%
iShares MSCI Chile Investable Mkt Idx ECH 0.52 0.69 0.58 0.54 0.45 0.52 0.53 0.48 0.51 0.37 0.52 0.49 -8.2% 0.9%
iShares MSCI Mexico Index EWW 0.73 0.83 0.71 0.68 0.68 0.69 0.67 0.59 0.48 0.56 0.62 0.47 0.67 -6.3% 0.8%
iShares MSCI Israel Index EIS 0.62 0.44 0.46 0.47 0.54 0.51 0.38 0.38 0.37 0.34 0.50 0.04 0.38 0.47 -6.9% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.45 0.64 0.53 0.51 0.40 0.45 0.35 0.52 0.23 0.50 0.45 0.34 0.42 0.54 0.23 -12.5% 1.7%

Select Period: 1 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr

Intra-portfolio diversification = 0.55
Portfolio return = -9.5%
Start Date = 2014-07-28
End Date = 2014-10-23

Each cell represents the correlation between the two corresponding assets.

Cell Color Description Diversification Benefit
-0.65 Asset pair with negative correlation Excellent Diversification
-0.15 Asset pair with slight negative correlation Good Diversification
0.2 Asset pair with mild positive correlation Moderate Diversification
0.8 Asset pair with strong positive correlation Poor Diversification

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.