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 1.6% 0.9%
iShares MSCI South Africa Index EZA 0.77 0.6% 2.6%
iShares MSCI France Index Fund EWQ 0.87 0.85 -4.6% 2.1%
iShares MSCI Germany Index Fund EWG 0.86 0.85 0.98 -5.3% 1.9%
iShares MSCI Canada Index Fund EWC 0.71 0.88 0.75 0.76 5.1% 1.2%
iShares MSCI Sweden Index EWD 0.83 0.85 0.97 0.97 0.77 -7.1% 2.2%
iShares MSCI United Kingdom Index EWU 0.85 0.86 0.96 0.95 0.77 0.94 -1.3% 2.3%
iShares MSCI Australia Index EWA 0.81 0.82 0.83 0.84 0.84 0.83 0.83 2.6% 1.6%
iShares MSCI Japan Index Fund EWJ 0.75 0.62 0.73 0.73 0.63 0.72 0.65 0.70 3.3% 1.4%
iShares MSCI South Korea Index EWY 0.83 0.88 0.85 0.86 0.82 0.84 0.85 0.84 0.70 0.7% 1.5%
iShares MSCI Taiwan Index Fund EWT 0.78 0.80 0.81 0.81 0.69 0.82 0.78 0.72 0.73 0.85 2.9% 1.4%
iShares MSCI Brazil Index Fund EWZ 0.55 0.73 0.60 0.59 0.73 0.63 0.59 0.61 0.53 0.66 0.56 18.1% 2.5%
iShares MSCI Chile Investable Mkt Idx ECH 0.64 0.85 0.75 0.75 0.80 0.75 0.76 0.75 0.50 0.78 0.68 0.70 -0.1% 1.4%
iShares MSCI Mexico Index EWW 0.82 0.87 0.85 0.85 0.85 0.84 0.85 0.83 0.68 0.86 0.79 0.76 0.82 -4.9% 1.7%
iShares MSCI Israel Index EIS 0.86 0.75 0.83 0.84 0.66 0.83 0.81 0.78 0.65 0.78 0.72 0.49 0.59 0.71 -1.7% 1.0%
iShares MSCI Turkey Invest Mkt Index TUR 0.59 0.80 0.70 0.70 0.69 0.73 0.71 0.66 0.53 0.68 0.70 0.51 0.64 0.67 0.64 -10.3% 2.3%

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

Intra-portfolio diversification = 0.76
Portfolio return = -0.0%
Start Date = 2016-04-04
End Date = 2016-06-30

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.