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 8.5% 0.8%
iShares MSCI South Africa Index EZA 0.67 31.6% 2.0%
iShares MSCI France Index Fund EWQ 0.85 0.72 9.6% 1.2%
iShares MSCI Germany Index Fund EWG 0.82 0.70 0.93 10.7% 1.2%
iShares MSCI Canada Index Fund EWC 0.72 0.78 0.76 0.73 25.1% 1.3%
iShares MSCI Sweden Index EWD 0.79 0.73 0.92 0.88 0.78 14.6% 1.4%
iShares MSCI United Kingdom Index EWU 0.84 0.78 0.88 0.85 0.86 0.85 9.3% 1.2%
iShares MSCI Australia Index EWA 0.70 0.78 0.68 0.67 0.74 0.65 0.73 16.5% 1.6%
iShares MSCI Japan Index Fund EWJ 0.68 0.47 0.70 0.64 0.52 0.58 0.64 0.58 1.0% 1.5%
iShares MSCI South Korea Index EWY 0.73 0.80 0.79 0.73 0.72 0.77 0.76 0.76 0.58 12.9% 1.3%
iShares MSCI Taiwan Index Fund EWT 0.77 0.77 0.80 0.74 0.69 0.76 0.75 0.69 0.64 0.78 7.2% 1.3%
iShares MSCI Brazil Index Fund EWZ 0.50 0.67 0.52 0.45 0.62 0.57 0.58 0.60 0.36 0.69 0.59 58.7% 3.0%
iShares MSCI Chile Investable Mkt Idx ECH 0.66 0.78 0.66 0.67 0.76 0.69 0.77 0.71 0.37 0.75 0.63 0.71 20.5% 1.1%
iShares MSCI Mexico Index EWW 0.80 0.83 0.78 0.74 0.85 0.75 0.85 0.75 0.57 0.80 0.75 0.68 0.77 15.6% 1.5%
iShares MSCI Israel Index EIS 0.84 0.57 0.81 0.75 0.63 0.78 0.76 0.64 0.64 0.71 0.71 0.44 0.53 0.72 5.7% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.52 0.72 0.55 0.55 0.57 0.53 0.61 0.56 0.27 0.65 0.56 0.56 0.57 0.65 0.49 28.2% 1.7%

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

Intra-portfolio diversification = 0.69
Portfolio return = 17.2%
Start Date = 2016-02-02
End Date = 2016-04-29

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.