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 3.5% 0.8%
iShares MSCI South Africa Index EZA 0.61 0.0% 1.6%
iShares MSCI France Index Fund EWQ 0.75 0.65 -4.1% 1.1%
iShares MSCI Germany Index Fund EWG 0.75 0.61 0.92 -0.1% 1.1%
iShares MSCI Canada Index Fund EWC 0.71 0.61 0.63 0.64 -5.8% 1.0%
iShares MSCI Sweden Index EWD 0.73 0.58 0.89 0.87 0.62 -0.5% 1.1%
iShares MSCI United Kingdom Index EWU 0.75 0.63 0.88 0.83 0.69 0.84 -5.7% 1.0%
iShares MSCI Australia Index EWA 0.49 0.71 0.53 0.56 0.56 0.55 0.53 -11.1% 1.2%
iShares MSCI Japan Index Fund EWJ 0.55 0.37 0.51 0.47 0.30 0.43 0.45 0.28 -1.2% 1.1%
iShares MSCI South Korea Index EWY 0.50 0.56 0.41 0.43 0.40 0.45 0.46 0.54 0.27 -13.4% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.64 0.66 0.45 0.52 0.50 0.42 0.47 0.54 0.41 0.50 -4.1% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.22 0.55 0.32 0.34 0.28 0.24 0.36 0.37 0.17 0.34 0.34 -19.5% 2.9%
iShares MSCI Chile Investable Mkt Idx ECH 0.53 0.70 0.56 0.53 0.47 0.47 0.53 0.53 0.40 0.43 0.58 0.63 -2.5% 0.9%
iShares MSCI Mexico Index EWW 0.67 0.75 0.63 0.62 0.60 0.60 0.64 0.52 0.31 0.49 0.65 0.51 0.66 -7.2% 0.8%
iShares MSCI Israel Index EIS 0.67 0.38 0.43 0.48 0.51 0.43 0.42 0.41 0.21 0.27 0.43 0.07 0.36 0.43 -4.6% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.37 0.67 0.40 0.44 0.47 0.45 0.37 0.62 0.12 0.54 0.45 0.47 0.54 0.56 0.21 2.6% 1.6%

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

Intra-portfolio diversification = 0.51
Portfolio return = -4.6%
Start Date = 2014-08-29
End Date = 2014-11-26

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.