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 -1.9% 0.8%
iShares MSCI South Africa Index EZA 0.59 -12.6% 1.7%
iShares MSCI France Index Fund EWQ 0.73 0.64 -11.4% 1.2%
iShares MSCI Germany Index Fund EWG 0.72 0.55 0.93 -6.5% 1.2%
iShares MSCI Canada Index Fund EWC 0.66 0.64 0.59 0.58 -15.2% 1.2%
iShares MSCI Sweden Index EWD 0.75 0.57 0.89 0.86 0.60 -8.1% 1.2%
iShares MSCI United Kingdom Index EWU 0.73 0.64 0.87 0.83 0.68 0.80 -11.8% 1.1%
iShares MSCI Australia Index EWA 0.54 0.69 0.54 0.55 0.57 0.57 0.57 -12.9% 1.2%
iShares MSCI Japan Index Fund EWJ 0.58 0.41 0.54 0.51 0.37 0.45 0.48 0.29 -5.4% 1.1%
iShares MSCI South Korea Index EWY 0.45 0.51 0.39 0.41 0.40 0.40 0.46 0.57 0.26 -11.5% 1.0%
iShares MSCI Taiwan Index Fund EWT 0.65 0.60 0.42 0.45 0.47 0.45 0.42 0.55 0.41 0.47 -6.9% 1.1%
iShares MSCI Brazil Index Fund EWZ 0.25 0.57 0.35 0.36 0.33 0.31 0.38 0.40 0.21 0.30 0.37 -30.1% 2.9%
iShares MSCI Chile Investable Mkt Idx ECH 0.58 0.71 0.59 0.51 0.48 0.54 0.57 0.56 0.41 0.42 0.61 0.67 -11.8% 0.9%
iShares MSCI Mexico Index EWW 0.66 0.68 0.59 0.56 0.63 0.60 0.63 0.57 0.30 0.45 0.68 0.53 0.70 -21.8% 1.0%
iShares MSCI Israel Index EIS 0.65 0.33 0.41 0.45 0.47 0.44 0.38 0.47 0.17 0.34 0.49 0.09 0.30 0.44 -7.0% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.37 0.53 0.44 0.49 0.36 0.52 0.37 0.54 0.17 0.36 0.40 0.41 0.50 0.44 0.23 -3.8% 1.6%

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

Intra-portfolio diversification = 0.51
Portfolio return = -11.2%
Start Date = 2014-09-18
End Date = 2014-12-16

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.