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 -0.3% 0.8%
iShares MSCI South Africa Index EZA 0.70 7.5% 1.7%
iShares MSCI France Index Fund EWQ 0.83 0.76 2.7% 1.1%
iShares MSCI Germany Index Fund EWG 0.76 0.66 0.93 -4.7% 1.2%
iShares MSCI Canada Index Fund EWC 0.77 0.64 0.69 0.66 3.8% 0.7%
iShares MSCI Sweden Index EWD 0.77 0.69 0.86 0.81 0.62 -0.8% 1.3%
iShares MSCI United Kingdom Index EWU 0.83 0.76 0.87 0.86 0.75 0.76 -1.5% 1.0%
iShares MSCI Australia Index EWA 0.71 0.76 0.74 0.67 0.69 0.69 0.78 9.0% 1.0%
iShares MSCI Japan Index Fund EWJ 0.64 0.45 0.67 0.67 0.51 0.59 0.68 0.55 -9.3% 1.2%
iShares MSCI South Korea Index EWY 0.65 0.77 0.69 0.64 0.58 0.69 0.70 0.79 0.54 3.6% 1.0%
iShares MSCI Taiwan Index Fund EWT 0.62 0.80 0.62 0.55 0.63 0.63 0.66 0.69 0.48 0.73 4.5% 0.9%
iShares MSCI Brazil Index Fund EWZ 0.42 0.60 0.55 0.50 0.34 0.55 0.50 0.55 0.35 0.59 0.52 7.7% 1.7%
iShares MSCI Chile Investable Mkt Idx ECH 0.57 0.77 0.63 0.64 0.58 0.60 0.70 0.74 0.40 0.72 0.70 0.72 0.5% 1.4%
iShares MSCI Mexico Index EWW 0.66 0.69 0.66 0.63 0.56 0.66 0.64 0.67 0.48 0.70 0.61 0.71 0.68 -4.1% 1.2%
iShares MSCI Israel Index EIS 0.73 0.51 0.72 0.65 0.52 0.76 0.67 0.53 0.57 0.50 0.48 0.45 0.49 0.51 4.7% 1.0%
iShares MSCI Turkey Invest Mkt Index TUR 0.54 0.68 0.63 0.59 0.42 0.61 0.57 0.70 0.34 0.70 0.60 0.66 0.72 0.73 0.52 8.9% 2.3%

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

Intra-portfolio diversification = 0.64
Portfolio return = 2.0%
Start Date = 2014-01-15
End Date = 2014-04-15

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.