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 2.4% 0.5%
iShares MSCI South Africa Index EZA -0.10 2.9% 1.0%
iShares MSCI France Index Fund EWQ 0.10 0.50 -8.6% 0.8%
iShares MSCI Germany Index Fund EWG 0.15 0.36 0.92 -6.6% 0.8%
iShares MSCI Canada Index Fund EWC 0.61 -0.24 0.04 0.08 5.3% 0.5%
iShares MSCI Sweden Index EWD 0.46 -0.16 -0.07 0.02 0.52 -6.6% 0.9%
iShares MSCI United Kingdom Index EWU 0.41 -0.09 0.02 0.12 0.53 0.78 -5.7% 0.8%
iShares MSCI Australia Index EWA 0.49 -0.11 0.09 0.18 0.50 0.43 0.56 1.1% 0.7%
iShares MSCI Japan Index Fund EWJ 0.58 -0.05 0.10 0.17 0.42 0.34 0.39 0.39 7.4% 0.7%
iShares MSCI South Korea Index EWY 0.42 -0.08 -0.07 -0.01 0.32 0.40 0.33 0.32 0.29 5.7% 0.7%
iShares MSCI Taiwan Index Fund EWT 0.61 0.12 0.13 0.18 0.35 0.26 0.30 0.41 0.29 0.48 6.9% 0.7%
iShares MSCI Brazil Index Fund EWZ 0.45 0.03 -0.04 -0.00 0.45 0.40 0.43 0.43 0.16 0.43 0.46 0.8% 1.3%
iShares MSCI Chile Investable Mkt Idx ECH 0.46 -0.06 -0.09 -0.02 0.28 0.32 0.38 0.39 0.34 0.47 0.38 0.50 -5.5% 0.9%
iShares MSCI Mexico Index EWW 0.63 0.05 0.05 0.09 0.44 0.44 0.44 0.40 0.44 0.47 0.49 0.63 0.59 5.9% 0.7%
iShares MSCI Israel Index EIS 0.69 -0.11 -0.08 -0.07 0.50 0.49 0.48 0.44 0.55 0.38 0.42 0.42 0.48 0.54 -0.2% 0.7%
iShares MSCI Turkey Invest Mkt Index TUR 0.50 -0.02 -0.06 -0.01 0.27 0.31 0.27 0.43 0.19 0.31 0.36 0.46 0.50 0.55 0.27 6.2% 1.6%

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

Intra-portfolio diversification = 0.30
Portfolio return = 0.7%
Start Date = 2014-05-05
End Date = 2014-07-31

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.