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 4.8% 0.8%
iShares MSCI South Africa Index EZA 0.64 14.7% 1.6%
iShares MSCI France Index Fund EWQ 0.82 0.73 9.1% 1.0%
iShares MSCI Germany Index Fund EWG 0.74 0.62 0.91 2.8% 1.2%
iShares MSCI Canada Index Fund EWC 0.76 0.62 0.66 0.63 6.5% 0.6%
iShares MSCI Sweden Index EWD 0.75 0.65 0.86 0.79 0.60 3.2% 1.2%
iShares MSCI United Kingdom Index EWU 0.81 0.71 0.86 0.86 0.74 0.73 3.3% 0.9%
iShares MSCI Australia Index EWA 0.68 0.71 0.74 0.67 0.68 0.69 0.77 16.1% 1.0%
iShares MSCI Japan Index Fund EWJ 0.63 0.40 0.70 0.68 0.51 0.56 0.70 0.51 -4.7% 1.2%
iShares MSCI South Korea Index EWY 0.59 0.71 0.67 0.62 0.54 0.67 0.66 0.74 0.51 9.9% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.60 0.81 0.65 0.57 0.66 0.63 0.68 0.68 0.43 0.71 6.2% 0.9%
iShares MSCI Brazil Index Fund EWZ 0.35 0.56 0.54 0.49 0.32 0.51 0.47 0.49 0.32 0.51 0.49 17.8% 1.6%
iShares MSCI Chile Investable Mkt Idx ECH 0.51 0.74 0.63 0.63 0.60 0.56 0.68 0.72 0.37 0.68 0.70 0.67 7.3% 1.3%
iShares MSCI Mexico Index EWW 0.62 0.67 0.67 0.62 0.58 0.63 0.63 0.64 0.46 0.67 0.59 0.68 0.66 1.2% 1.1%
iShares MSCI Israel Index EIS 0.71 0.47 0.71 0.63 0.51 0.75 0.66 0.52 0.55 0.46 0.50 0.40 0.41 0.48 9.3% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.46 0.65 0.61 0.57 0.41 0.60 0.54 0.63 0.29 0.63 0.58 0.63 0.69 0.69 0.49 24.9% 2.1%

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

Intra-portfolio diversification = 0.62
Portfolio return = 8.3%
Start Date = 2014-01-24
End Date = 2014-04-23

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.