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 -0.9% 0.9%
iShares MSCI South Africa Index EZA 0.68 1.9% 1.9%
iShares MSCI France Index Fund EWQ 0.81 0.75 6.4% 1.4%
iShares MSCI Germany Index Fund EWG 0.78 0.72 0.94 8.8% 1.3%
iShares MSCI Canada Index Fund EWC 0.69 0.67 0.73 0.67 -6.2% 1.2%
iShares MSCI Sweden Index EWD 0.72 0.71 0.85 0.80 0.64 4.6% 1.3%
iShares MSCI United Kingdom Index EWU 0.82 0.77 0.89 0.82 0.75 0.81 1.2% 1.1%
iShares MSCI Australia Index EWA 0.68 0.67 0.65 0.60 0.75 0.70 0.76 4.4% 1.2%
iShares MSCI Japan Index Fund EWJ 0.67 0.53 0.68 0.65 0.42 0.56 0.70 0.56 12.7% 0.9%
iShares MSCI South Korea Index EWY 0.58 0.71 0.57 0.53 0.56 0.48 0.68 0.63 0.57 3.8% 1.0%
iShares MSCI Taiwan Index Fund EWT 0.69 0.63 0.63 0.59 0.60 0.52 0.72 0.57 0.71 0.72 3.5% 1.1%
iShares MSCI Brazil Index Fund EWZ 0.49 0.72 0.60 0.52 0.66 0.54 0.64 0.62 0.41 0.66 0.53 -17.6% 2.2%
iShares MSCI Chile Investable Mkt Idx ECH 0.63 0.73 0.66 0.56 0.67 0.66 0.72 0.68 0.48 0.66 0.58 0.70 -0.2% 1.1%
iShares MSCI Mexico Index EWW 0.68 0.78 0.68 0.63 0.68 0.64 0.73 0.65 0.51 0.65 0.63 0.77 0.76 -1.9% 1.4%
iShares MSCI Israel Index EIS 0.55 0.41 0.56 0.50 0.52 0.50 0.48 0.48 0.44 0.35 0.36 0.31 0.37 0.45 7.9% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.47 0.64 0.49 0.47 0.47 0.45 0.54 0.49 0.37 0.57 0.45 0.59 0.57 0.58 0.34 -14.6% 2.1%

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

Intra-portfolio diversification = 0.62
Portfolio return = 0.9%
Start Date = 2014-12-30
End Date = 2015-03-27

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.