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																17.2%	1.0%
iShares MSCI South Africa Index	EZA	0.89															17.8%	2.2%
iShares MSCI France Index Fund	EWQ	0.89	0.91														20.7%	2.0%
iShares MSCI Germany Index Fund	EWG	0.89	0.92	0.96													25.4%	2.0%
iShares MSCI Canada Index Fund	EWC	0.84	0.83	0.86	0.84												15.7%	1.3%
iShares MSCI Sweden Index	EWD	0.90	0.91	0.94	0.96	0.84											31.0%	2.0%
iShares MSCI United Kingdom Index	EWU	0.89	0.88	0.92	0.90	0.85	0.92										15.7%	1.3%
iShares MSCI Australia Index	EWA	0.85	0.85	0.85	0.86	0.88	0.85	0.87									13.4%	1.6%
iShares MSCI Japan Index Fund	EWJ	0.78	0.77	0.84	0.79	0.79	0.81	0.83	0.84								13.0%	1.1%
iShares MSCI South Korea Index	EWY	0.84	0.81	0.83	0.85	0.83	0.86	0.82	0.82	0.82							19.3%	1.8%
iShares MSCI Taiwan Index Fund	EWT	0.63	0.66	0.63	0.60	0.67	0.60	0.65	0.70	0.61	0.70						16.2%	1.4%
iShares MSCI Brazil Index Fund	EWZ	0.88	0.89	0.88	0.89	0.83	0.87	0.84	0.86	0.77	0.83	0.63					26.6%	1.7%
iShares MSCI Chile Investable Mkt Idx	ECH	0.80	0.82	0.79	0.79	0.72	0.82	0.78	0.72	0.73	0.72	0.58	0.74				23.2%	1.3%
iShares MSCI Mexico Index	EWW	0.87	0.86	0.88	0.89	0.82	0.89	0.88	0.86	0.75	0.82	0.64	0.85	0.74			20.4%	1.5%
iShares MSCI Israel Index	EIS	0.76	0.79	0.70	0.75	0.62	0.72	0.72	0.72	0.58	0.65	0.54	0.74	0.60	0.66		10.0%	1.4%
iShares MSCI Turkey Invest Mkt Index	TUR	0.82	0.85	0.85	0.90	0.73	0.86	0.78	0.81	0.75	0.78	0.54	0.84	0.76	0.80	0.70	27.7%	2.5%

Select Period:

Intra-portfolio diversification	= 0.79
Portfolio return	= 19.6%
Start Date	= 2011-11-25
End Date	= 2012-02-22

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.