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 -8.7% 1.2%
iShares MSCI South Africa Index EZA 0.61 -12.2% 1.8%
iShares MSCI France Index Fund EWQ 0.68 0.63 -10.1% 1.5%
iShares MSCI Germany Index Fund EWG 0.66 0.65 0.96 -12.5% 1.5%
iShares MSCI Canada Index Fund EWC 0.85 0.60 0.64 0.61 -15.0% 1.2%
iShares MSCI Sweden Index EWD 0.68 0.54 0.87 0.82 0.60 -14.1% 1.4%
iShares MSCI United Kingdom Index EWU 0.82 0.71 0.83 0.80 0.82 0.77 -13.9% 1.3%
iShares MSCI Australia Index EWA 0.69 0.59 0.62 0.57 0.69 0.60 0.77 -17.7% 2.0%
iShares MSCI Japan Index Fund EWJ 0.88 0.70 0.73 0.71 0.77 0.69 0.82 0.75 -11.3% 1.5%
iShares MSCI South Korea Index EWY 0.69 0.75 0.66 0.69 0.71 0.60 0.71 0.74 0.73 -16.9% 1.3%
iShares MSCI Taiwan Index Fund EWT 0.72 0.68 0.61 0.64 0.74 0.55 0.74 0.74 0.79 0.80 -16.9% 1.7%
iShares MSCI Brazil Index Fund EWZ 0.72 0.62 0.58 0.57 0.74 0.58 0.74 0.62 0.62 0.69 0.65 -27.6% 2.1%
iShares MSCI Chile Investable Mkt Idx ECH 0.64 0.64 0.66 0.64 0.72 0.60 0.71 0.58 0.62 0.69 0.67 0.79 -13.2% 1.5%
iShares MSCI Mexico Index EWW 0.76 0.70 0.66 0.66 0.81 0.60 0.79 0.69 0.74 0.73 0.74 0.75 0.80 -11.2% 1.3%
iShares MSCI Israel Index EIS 0.56 0.39 0.52 0.47 0.46 0.55 0.62 0.67 0.57 0.51 0.46 0.43 0.40 0.51 -5.5% 1.2%
iShares MSCI Turkey Invest Mkt Index TUR 0.56 0.51 0.50 0.50 0.59 0.40 0.56 0.32 0.52 0.41 0.47 0.52 0.57 0.52 0.18 -20.8% 2.2%

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

Intra-portfolio diversification = 0.65
Portfolio return = -14.2%
Start Date = 2015-06-04
End Date = 2015-09-01

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.