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 6.3% 0.5%
iShares MSCI South Africa Index EZA -0.21 6.2% 1.0%
iShares MSCI France Index Fund EWQ -0.12 0.45 -4.7% 0.7%
iShares MSCI Germany Index Fund EWG -0.08 0.30 0.91 -2.7% 0.7%
iShares MSCI Canada Index Fund EWC 0.50 -0.35 -0.06 -0.03 9.1% 0.5%
iShares MSCI Sweden Index EWD 0.39 -0.21 -0.13 -0.06 0.47 -2.5% 0.8%
iShares MSCI United Kingdom Index EWU 0.35 -0.14 -0.06 0.05 0.51 0.77 -1.1% 0.8%
iShares MSCI Australia Index EWA 0.40 -0.19 -0.03 0.07 0.38 0.37 0.47 1.3% 0.7%
iShares MSCI Japan Index Fund EWJ 0.51 -0.09 -0.01 0.06 0.30 0.25 0.32 0.29 9.1% 0.7%
iShares MSCI South Korea Index EWY 0.35 -0.10 -0.21 -0.14 0.23 0.33 0.27 0.24 0.25 3.7% 0.7%
iShares MSCI Taiwan Index Fund EWT 0.43 -0.00 -0.10 -0.05 0.17 0.10 0.19 0.31 0.19 0.46 11.4% 0.6%
iShares MSCI Brazil Index Fund EWZ 0.30 -0.13 -0.16 -0.14 0.37 0.31 0.36 0.36 0.05 0.40 0.40 9.6% 1.3%
iShares MSCI Chile Investable Mkt Idx ECH 0.43 -0.17 -0.19 -0.12 0.27 0.33 0.38 0.31 0.33 0.52 0.32 0.42 0.2% 0.8%
iShares MSCI Mexico Index EWW 0.54 -0.06 -0.08 -0.05 0.39 0.35 0.41 0.26 0.40 0.51 0.42 0.52 0.54 12.5% 0.6%
iShares MSCI Israel Index EIS 0.66 -0.12 -0.18 -0.19 0.41 0.40 0.43 0.34 0.55 0.38 0.36 0.32 0.47 0.55 1.7% 0.7%
iShares MSCI Turkey Invest Mkt Index TUR 0.49 -0.10 -0.12 -0.08 0.23 0.31 0.25 0.40 0.13 0.29 0.30 0.39 0.46 0.45 0.21 15.8% 1.5%

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

Intra-portfolio diversification = 0.22
Portfolio return = 4.7%
Start Date = 2014-04-28
End Date = 2014-07-24

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.