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 8.9% 0.8%
iShares MSCI South Africa Index EZA 0.69 -4.4% 1.5%
iShares MSCI France Index Fund EWQ 0.86 0.57 4.0% 1.4%
iShares MSCI Germany Index Fund EWG 0.82 0.57 0.92 3.7% 1.1%
iShares MSCI Canada Index Fund EWC 0.73 0.73 0.67 0.71 -2.8% 1.0%
iShares MSCI Sweden Index EWD 0.76 0.48 0.83 0.80 0.68 1.0% 1.2%
iShares MSCI United Kingdom Index EWU 0.83 0.57 0.86 0.84 0.67 0.79 5.5% 0.8%
iShares MSCI Australia Index EWA 0.75 0.69 0.72 0.74 0.78 0.65 0.62 -2.7% 1.1%
iShares MSCI Japan Index Fund EWJ 0.55 0.38 0.47 0.45 0.29 0.38 0.40 0.41 20.4% 1.1%
iShares MSCI South Korea Index EWY 0.54 0.46 0.42 0.47 0.48 0.49 0.46 0.44 0.22 -5.0% 1.2%
iShares MSCI Taiwan Index Fund EWT 0.62 0.62 0.62 0.58 0.60 0.52 0.58 0.52 0.29 0.62 3.3% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.64 0.58 0.57 0.57 0.72 0.57 0.52 0.63 0.33 0.40 0.55 -3.3% 1.1%
iShares MSCI Chile Investable Mkt Idx ECH 0.73 0.71 0.61 0.56 0.70 0.52 0.61 0.65 0.36 0.41 0.54 0.62 -10.0% 0.8%
iShares MSCI Mexico Index EWW 0.73 0.61 0.51 0.54 0.68 0.50 0.56 0.62 0.33 0.49 0.54 0.66 0.73 -2.7% 1.2%
iShares MSCI Israel Index EIS 0.67 0.48 0.66 0.65 0.50 0.55 0.61 0.56 0.40 0.39 0.51 0.39 0.51 0.54 0.4% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.47 0.46 0.36 0.35 0.39 0.36 0.23 0.41 0.23 0.34 0.33 0.33 0.42 0.41 0.44 14.5% 1.2%

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

Intra-portfolio diversification = 0.56
Portfolio return = 1.9%
Start Date = 2013-02-19
End Date = 2013-05-17

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.