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 -9.5% 1.2%
iShares MSCI South Africa Index EZA 0.66 -20.1% 2.9%
iShares MSCI France Index Fund EWQ 0.88 0.66 -12.2% 1.3%
iShares MSCI Germany Index Fund EWG 0.83 0.58 0.94 -12.7% 1.3%
iShares MSCI Canada Index Fund EWC 0.76 0.69 0.80 0.71 -11.3% 1.7%
iShares MSCI Sweden Index EWD 0.78 0.63 0.92 0.89 0.74 -11.6% 1.5%
iShares MSCI United Kingdom Index EWU 0.87 0.69 0.92 0.87 0.89 0.84 -14.0% 1.5%
iShares MSCI Australia Index EWA 0.74 0.65 0.76 0.74 0.81 0.72 0.83 -8.2% 1.8%
iShares MSCI Japan Index Fund EWJ 0.76 0.55 0.72 0.62 0.61 0.63 0.74 0.66 -13.6% 1.4%
iShares MSCI South Korea Index EWY 0.73 0.68 0.78 0.72 0.80 0.76 0.81 0.83 0.73 -10.7% 1.5%
iShares MSCI Taiwan Index Fund EWT 0.74 0.75 0.76 0.72 0.74 0.73 0.81 0.80 0.71 0.85 -10.7% 1.6%
iShares MSCI Brazil Index Fund EWZ 0.58 0.66 0.57 0.48 0.60 0.55 0.63 0.54 0.50 0.57 0.60 -18.4% 2.8%
iShares MSCI Chile Investable Mkt Idx ECH 0.62 0.66 0.64 0.55 0.69 0.59 0.69 0.65 0.58 0.66 0.64 0.72 -4.5% 1.4%
iShares MSCI Mexico Index EWW 0.80 0.77 0.77 0.72 0.78 0.71 0.83 0.77 0.69 0.78 0.82 0.69 0.80 -15.1% 1.6%
iShares MSCI Israel Index EIS 0.71 0.44 0.66 0.62 0.61 0.60 0.67 0.57 0.48 0.56 0.61 0.48 0.49 0.65 -10.3% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.54 0.65 0.63 0.58 0.58 0.62 0.58 0.50 0.45 0.53 0.59 0.56 0.63 0.70 0.41 -14.7% 2.0%

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

Intra-portfolio diversification = 0.68
Portfolio return = -12.4%
Start Date = 2015-11-12
End Date = 2016-02-09

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.