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 2.9% 0.8%
iShares MSCI South Africa Index EZA 0.62 2.3% 1.7%
iShares MSCI France Index Fund EWQ 0.78 0.77 6.9% 1.2%
iShares MSCI Germany Index Fund EWG 0.79 0.71 0.90 4.7% 1.2%
iShares MSCI Canada Index Fund EWC 0.61 0.70 0.70 0.58 7.7% 1.1%
iShares MSCI Sweden Index EWD 0.70 0.69 0.84 0.78 0.59 7.3% 1.2%
iShares MSCI United Kingdom Index EWU 0.79 0.75 0.87 0.76 0.73 0.76 4.5% 1.0%
iShares MSCI Australia Index EWA 0.65 0.69 0.67 0.59 0.69 0.67 0.79 8.4% 1.2%
iShares MSCI Japan Index Fund EWJ 0.62 0.52 0.66 0.65 0.31 0.55 0.67 0.57 14.8% 0.8%
iShares MSCI South Korea Index EWY 0.58 0.68 0.54 0.50 0.58 0.47 0.65 0.58 0.53 9.0% 1.0%
iShares MSCI Taiwan Index Fund EWT 0.64 0.63 0.57 0.54 0.56 0.45 0.58 0.57 0.53 0.67 6.2% 1.0%
iShares MSCI Brazil Index Fund EWZ 0.45 0.67 0.59 0.47 0.68 0.51 0.65 0.59 0.41 0.66 0.61 1.8% 2.2%
iShares MSCI Chile Investable Mkt Idx ECH 0.49 0.74 0.67 0.55 0.68 0.61 0.70 0.69 0.46 0.57 0.56 0.72 9.1% 1.0%
iShares MSCI Mexico Index EWW 0.59 0.76 0.70 0.61 0.68 0.64 0.73 0.69 0.55 0.58 0.61 0.72 0.79 0.6% 1.3%
iShares MSCI Israel Index EIS 0.51 0.44 0.54 0.47 0.43 0.54 0.46 0.47 0.42 0.31 0.31 0.29 0.40 0.44 14.6% 0.9%
iShares MSCI Turkey Invest Mkt Index TUR 0.48 0.68 0.54 0.51 0.50 0.51 0.56 0.50 0.45 0.54 0.50 0.56 0.57 0.59 0.45 -18.2% 2.2%

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

Intra-portfolio diversification = 0.60
Portfolio return = 5.2%
Start Date = 2015-01-26
End Date = 2015-04-24

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.