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 3.0% 0.8%
iShares MSCI South Africa Index EZA 0.72 -2.5% 1.5%
iShares MSCI France Index Fund EWQ 0.78 0.76 -7.7% 1.1%
iShares MSCI Germany Index Fund EWG 0.79 0.76 0.91 -6.9% 1.1%
iShares MSCI Canada Index Fund EWC 0.79 0.70 0.72 0.75 -6.2% 0.9%
iShares MSCI Sweden Index EWD 0.77 0.69 0.87 0.85 0.72 -4.8% 1.1%
iShares MSCI United Kingdom Index EWU 0.75 0.71 0.85 0.79 0.75 0.83 -7.4% 0.9%
iShares MSCI Australia Index EWA 0.55 0.67 0.59 0.64 0.67 0.55 0.57 -5.7% 1.1%
iShares MSCI Japan Index Fund EWJ 0.66 0.47 0.55 0.55 0.42 0.59 0.56 0.37 -4.9% 0.8%
iShares MSCI South Korea Index EWY 0.59 0.62 0.48 0.50 0.50 0.46 0.51 0.51 0.53 -11.4% 0.8%
iShares MSCI Taiwan Index Fund EWT 0.68 0.66 0.46 0.58 0.61 0.46 0.45 0.60 0.45 0.68 -1.7% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.24 0.49 0.34 0.35 0.30 0.24 0.37 0.38 0.17 0.35 0.29 -15.7% 2.6%
iShares MSCI Chile Investable Mkt Idx ECH 0.55 0.68 0.60 0.61 0.53 0.56 0.57 0.54 0.51 0.40 0.52 0.55 -4.6% 0.9%
iShares MSCI Mexico Index EWW 0.73 0.85 0.69 0.71 0.72 0.69 0.68 0.60 0.47 0.60 0.62 0.45 0.63 -2.1% 0.8%
iShares MSCI Israel Index EIS 0.62 0.46 0.48 0.50 0.56 0.50 0.39 0.41 0.34 0.30 0.48 0.07 0.41 0.47 -5.9% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.47 0.65 0.54 0.56 0.45 0.47 0.37 0.55 0.23 0.55 0.46 0.36 0.41 0.53 0.25 -6.2% 1.7%

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

Intra-portfolio diversification = 0.55
Portfolio return = -5.7%
Start Date = 2014-08-01
End Date = 2014-10-29

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.