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 -0.2% 0.6%
iShares MSCI South Africa Index EZA 0.50 -6.9% 1.3%
iShares MSCI France Index Fund EWQ 0.71 0.47 -3.9% 1.2%
iShares MSCI Germany Index Fund EWG 0.77 0.45 0.93 -8.5% 1.3%
iShares MSCI Canada Index Fund EWC 0.70 0.51 0.57 0.52 -4.3% 0.8%
iShares MSCI Sweden Index EWD 0.65 0.34 0.85 0.79 0.50 -7.6% 1.2%
iShares MSCI United Kingdom Index EWU 0.74 0.56 0.77 0.75 0.71 0.76 0.0% 1.0%
iShares MSCI Australia Index EWA 0.48 0.58 0.44 0.37 0.49 0.45 0.57 -7.8% 1.3%
iShares MSCI Japan Index Fund EWJ 0.78 0.48 0.67 0.68 0.54 0.63 0.68 0.49 0.5% 0.9%
iShares MSCI South Korea Index EWY 0.56 0.60 0.46 0.47 0.54 0.41 0.54 0.51 0.49 -5.1% 0.9%
iShares MSCI Taiwan Index Fund EWT 0.55 0.56 0.53 0.52 0.38 0.39 0.44 0.47 0.53 0.50 -0.9% 1.1%
iShares MSCI Brazil Index Fund EWZ 0.51 0.49 0.51 0.48 0.57 0.48 0.55 0.51 0.35 0.38 0.29 -2.0% 1.6%
iShares MSCI Chile Investable Mkt Idx ECH 0.37 0.50 0.49 0.46 0.46 0.49 0.54 0.52 0.37 0.28 0.35 0.60 -9.7% 1.0%
iShares MSCI Mexico Index EWW 0.58 0.64 0.55 0.52 0.58 0.55 0.69 0.57 0.55 0.49 0.38 0.67 0.59 -5.5% 0.9%
iShares MSCI Israel Index EIS 0.57 0.46 0.53 0.53 0.33 0.47 0.52 0.34 0.50 0.38 0.29 0.42 0.41 0.46 -1.3% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.51 0.54 0.52 0.52 0.45 0.49 0.52 0.39 0.49 0.33 0.36 0.34 0.44 0.50 0.35 -7.9% 1.9%

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

Intra-portfolio diversification = 0.52
Portfolio return = -4.4%
Start Date = 2015-04-06
End Date = 2015-07-02

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.