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 8.6% 0.7%
iShares MSCI South Africa Index EZA 0.67 12.5% 2.0%
iShares MSCI France Index Fund EWQ 0.85 0.71 9.0% 1.1%
iShares MSCI Germany Index Fund EWG 0.84 0.70 0.95 11.3% 1.1%
iShares MSCI Canada Index Fund EWC 0.64 0.83 0.70 0.68 14.3% 1.2%
iShares MSCI Sweden Index EWD 0.78 0.69 0.92 0.91 0.73 8.3% 1.2%
iShares MSCI United Kingdom Index EWU 0.80 0.78 0.87 0.83 0.79 0.82 10.3% 1.1%
iShares MSCI Australia Index EWA 0.71 0.73 0.68 0.67 0.79 0.65 0.75 13.3% 1.4%
iShares MSCI Japan Index Fund EWJ 0.71 0.49 0.74 0.70 0.51 0.63 0.68 0.58 7.4% 1.3%
iShares MSCI South Korea Index EWY 0.75 0.78 0.78 0.76 0.78 0.75 0.76 0.76 0.62 6.9% 1.2%
iShares MSCI Taiwan Index Fund EWT 0.74 0.71 0.75 0.72 0.66 0.72 0.75 0.62 0.61 0.77 3.4% 1.2%
iShares MSCI Brazil Index Fund EWZ 0.44 0.65 0.47 0.41 0.63 0.50 0.53 0.58 0.40 0.60 0.49 25.9% 2.9%
iShares MSCI Chile Investable Mkt Idx ECH 0.48 0.79 0.54 0.54 0.73 0.52 0.61 0.62 0.30 0.68 0.55 0.66 7.5% 1.1%
iShares MSCI Mexico Index EWW 0.74 0.85 0.73 0.72 0.86 0.68 0.79 0.76 0.58 0.79 0.70 0.66 0.75 4.3% 1.4%
iShares MSCI Israel Index EIS 0.75 0.59 0.76 0.76 0.54 0.76 0.73 0.62 0.57 0.67 0.64 0.33 0.36 0.61 3.8% 0.7%
iShares MSCI Turkey Invest Mkt Index TUR 0.53 0.73 0.54 0.53 0.58 0.54 0.68 0.50 0.34 0.56 0.56 0.37 0.50 0.58 0.59 5.8% 2.0%

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

Intra-portfolio diversification = 0.66
Portfolio return = 9.5%
Start Date = 2016-02-29
End Date = 2016-05-27

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.