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 3.3% 0.8%
iShares MSCI South Africa Index EZA 0.61 1.2% 1.6%
iShares MSCI France Index Fund EWQ 0.75 0.69 -5.5% 1.1%
iShares MSCI Germany Index Fund EWG 0.75 0.65 0.92 -3.9% 1.1%
iShares MSCI Canada Index Fund EWC 0.72 0.61 0.66 0.67 -4.4% 1.0%
iShares MSCI Sweden Index EWD 0.74 0.60 0.88 0.87 0.64 -3.8% 1.1%
iShares MSCI United Kingdom Index EWU 0.75 0.63 0.87 0.82 0.71 0.85 -6.6% 1.0%
iShares MSCI Australia Index EWA 0.49 0.70 0.55 0.57 0.58 0.58 0.53 -10.2% 1.1%
iShares MSCI Japan Index Fund EWJ 0.55 0.37 0.50 0.47 0.29 0.43 0.45 0.29 -2.7% 1.1%
iShares MSCI South Korea Index EWY 0.50 0.58 0.41 0.42 0.42 0.45 0.43 0.53 0.27 -14.0% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.63 0.66 0.48 0.54 0.51 0.45 0.47 0.53 0.41 0.50 -2.6% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.22 0.54 0.35 0.36 0.28 0.26 0.37 0.37 0.16 0.35 0.34 -14.0% 2.9%
iShares MSCI Chile Investable Mkt Idx ECH 0.54 0.66 0.60 0.58 0.47 0.52 0.55 0.52 0.41 0.44 0.56 0.63 -0.2% 0.9%
iShares MSCI Mexico Index EWW 0.67 0.74 0.65 0.64 0.61 0.63 0.65 0.53 0.30 0.50 0.65 0.51 0.65 -5.8% 0.8%
iShares MSCI Israel Index EIS 0.69 0.38 0.49 0.51 0.52 0.49 0.43 0.40 0.21 0.26 0.43 0.07 0.36 0.44 -2.4% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.36 0.68 0.42 0.46 0.47 0.46 0.34 0.60 0.11 0.54 0.44 0.46 0.51 0.55 0.19 2.6% 1.6%

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

Intra-portfolio diversification = 0.52
Portfolio return = -4.3%
Start Date = 2014-08-25
End Date = 2014-11-21

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.