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 4.2% 0.5%
iShares MSCI South Africa Index EZA 0.20 6.7% 1.1%
iShares MSCI France Index Fund EWQ 0.35 0.67 -8.2% 0.9%
iShares MSCI Germany Index Fund EWG 0.43 0.58 0.90 -8.8% 0.8%
iShares MSCI Canada Index Fund EWC 0.62 0.04 0.24 0.33 7.2% 0.5%
iShares MSCI Sweden Index EWD 0.57 0.01 0.13 0.25 0.54 -7.0% 0.9%
iShares MSCI United Kingdom Index EWU 0.44 0.03 0.15 0.27 0.55 0.75 -5.6% 0.8%
iShares MSCI Australia Index EWA 0.56 0.05 0.22 0.32 0.57 0.41 0.57 1.4% 0.7%
iShares MSCI Japan Index Fund EWJ 0.56 0.21 0.19 0.28 0.45 0.44 0.42 0.34 2.5% 0.7%
iShares MSCI South Korea Index EWY 0.46 0.07 0.05 0.10 0.30 0.38 0.30 0.33 0.32 1.8% 0.7%
iShares MSCI Taiwan Index Fund EWT 0.65 0.29 0.21 0.33 0.43 0.26 0.28 0.41 0.36 0.58 8.9% 0.8%
iShares MSCI Brazil Index Fund EWZ 0.49 0.13 0.12 0.13 0.50 0.46 0.48 0.44 0.22 0.36 0.44 12.0% 1.3%
iShares MSCI Chile Investable Mkt Idx ECH 0.40 0.15 0.00 0.05 0.27 0.35 0.37 0.34 0.37 0.32 0.41 0.49 -8.7% 0.8%
iShares MSCI Mexico Index EWW 0.67 0.26 0.18 0.22 0.49 0.54 0.47 0.42 0.52 0.44 0.47 0.61 0.70 6.8% 0.7%
iShares MSCI Israel Index EIS 0.53 -0.00 0.05 0.07 0.46 0.43 0.35 0.38 0.43 0.41 0.43 0.39 0.36 0.52 -3.0% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.51 0.19 0.14 0.13 0.17 0.34 0.22 0.36 0.13 0.32 0.37 0.36 0.32 0.44 0.26 -3.0% 1.7%

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

Intra-portfolio diversification = 0.35
Portfolio return = 0.5%
Start Date = 2014-05-29
End Date = 2014-08-27

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.