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 -3.1% 0.8%
iShares MSCI South Africa Index EZA 0.69 -8.5% 1.5%
iShares MSCI France Index Fund EWQ 0.78 0.75 -13.1% 1.1%
iShares MSCI Germany Index Fund EWG 0.79 0.72 0.91 -14.8% 1.0%
iShares MSCI Canada Index Fund EWC 0.77 0.67 0.69 0.72 -10.7% 0.9%
iShares MSCI Sweden Index EWD 0.76 0.67 0.83 0.82 0.70 -10.8% 1.1%
iShares MSCI United Kingdom Index EWU 0.75 0.69 0.84 0.79 0.75 0.83 -11.4% 0.9%
iShares MSCI Australia Index EWA 0.55 0.65 0.58 0.63 0.66 0.54 0.57 -9.3% 1.0%
iShares MSCI Japan Index Fund EWJ 0.66 0.46 0.55 0.55 0.43 0.60 0.57 0.39 -7.8% 0.8%
iShares MSCI South Korea Index EWY 0.57 0.56 0.49 0.47 0.50 0.44 0.50 0.53 0.53 -11.7% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.71 0.63 0.49 0.58 0.61 0.46 0.46 0.61 0.47 0.66 -6.9% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.26 0.52 0.37 0.36 0.29 0.26 0.38 0.38 0.21 0.38 0.33 -19.7% 2.4%
iShares MSCI Chile Investable Mkt Idx ECH 0.52 0.69 0.58 0.54 0.44 0.52 0.53 0.48 0.50 0.36 0.52 0.51 -8.9% 0.9%
iShares MSCI Mexico Index EWW 0.72 0.83 0.68 0.66 0.68 0.69 0.66 0.58 0.47 0.55 0.60 0.50 0.66 -6.9% 0.8%
iShares MSCI Israel Index EIS 0.64 0.44 0.48 0.49 0.57 0.53 0.39 0.38 0.38 0.34 0.51 0.04 0.39 0.48 -6.5% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.42 0.65 0.49 0.47 0.37 0.41 0.33 0.52 0.22 0.50 0.43 0.40 0.41 0.53 0.24 -14.2% 1.6%

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

Intra-portfolio diversification = 0.54
Portfolio return = -10.3%
Start Date = 2014-07-24
End Date = 2014-10-22

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

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.