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 3.4% 0.8%
iShares MSCI South Africa Index EZA 0.59 -0.0% 1.7%
iShares MSCI France Index Fund EWQ 0.69 0.54 -1.5% 1.1%
iShares MSCI Germany Index Fund EWG 0.64 0.42 0.93 3.0% 1.1%
iShares MSCI Canada Index Fund EWC 0.61 0.54 0.53 0.46 -9.5% 1.2%
iShares MSCI Sweden Index EWD 0.68 0.53 0.78 0.73 0.49 -3.4% 1.0%
iShares MSCI United Kingdom Index EWU 0.65 0.53 0.82 0.74 0.61 0.73 -3.3% 1.0%
iShares MSCI Australia Index EWA 0.37 0.48 0.37 0.34 0.40 0.47 0.59 -13.2% 1.1%
iShares MSCI Japan Index Fund EWJ 0.59 0.43 0.61 0.54 0.41 0.47 0.51 0.23 1.1% 1.1%
iShares MSCI South Korea Index EWY 0.19 0.29 0.27 0.26 0.23 0.28 0.45 0.55 0.08 -1.8% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.45 0.37 0.38 0.31 0.35 0.42 0.54 0.46 0.40 0.40 1.5% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.54 0.70 0.47 0.48 0.55 0.53 0.48 0.42 0.33 0.28 0.45 -10.9% 2.2%
iShares MSCI Chile Investable Mkt Idx ECH 0.68 0.72 0.51 0.40 0.47 0.50 0.45 0.28 0.35 0.20 0.42 0.70 -6.9% 1.0%
iShares MSCI Mexico Index EWW 0.72 0.73 0.59 0.50 0.57 0.60 0.62 0.40 0.32 0.34 0.51 0.74 0.74 -11.4% 1.3%
iShares MSCI Israel Index EIS 0.38 0.16 0.29 0.34 0.28 0.22 0.30 0.24 0.14 0.34 0.37 0.29 0.12 0.39 -5.8% 0.7%
iShares MSCI Turkey Invest Mkt Index TUR 0.41 0.49 0.32 0.33 0.20 0.37 0.27 0.24 0.22 0.16 0.17 0.53 0.53 0.45 0.18 5.2% 1.6%

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

Intra-portfolio diversification = 0.45
Portfolio return = -3.4%
Start Date = 2014-10-28
End Date = 2015-01-23

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.