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 2.4% 0.5%
iShares MSCI South Africa Index EZA 0.30 -1.4% 1.2%
iShares MSCI France Index Fund EWQ 0.35 0.64 -8.7% 0.9%
iShares MSCI Germany Index Fund EWG 0.43 0.60 0.90 -8.8% 0.9%
iShares MSCI Canada Index Fund EWC 0.61 0.26 0.34 0.41 -0.1% 0.6%
iShares MSCI Sweden Index EWD 0.59 0.14 0.20 0.32 0.58 -7.8% 0.9%
iShares MSCI United Kingdom Index EWU 0.42 0.13 0.24 0.34 0.57 0.78 -8.0% 0.9%
iShares MSCI Australia Index EWA 0.50 0.31 0.33 0.40 0.66 0.43 0.53 -6.1% 0.8%
iShares MSCI Japan Index Fund EWJ 0.59 0.26 0.20 0.30 0.40 0.59 0.43 0.37 -2.3% 0.6%
iShares MSCI South Korea Index EWY 0.50 0.17 0.06 0.07 0.43 0.34 0.32 0.33 0.42 -0.8% 0.7%
iShares MSCI Taiwan Index Fund EWT 0.66 0.36 0.25 0.37 0.53 0.31 0.27 0.43 0.36 0.52 2.7% 0.9%
iShares MSCI Brazil Index Fund EWZ 0.52 0.34 0.18 0.18 0.56 0.40 0.43 0.47 0.31 0.37 0.48 -3.5% 1.5%
iShares MSCI Chile Investable Mkt Idx ECH 0.42 0.31 0.11 0.18 0.35 0.37 0.35 0.34 0.41 0.17 0.40 0.51 -7.4% 0.8%
iShares MSCI Mexico Index EWW 0.71 0.46 0.26 0.30 0.57 0.60 0.44 0.44 0.55 0.45 0.48 0.57 0.62 4.5% 0.7%
iShares MSCI Israel Index EIS 0.49 0.05 0.05 0.09 0.38 0.45 0.26 0.23 0.39 0.35 0.39 0.33 0.37 0.46 -4.1% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.54 0.40 0.20 0.19 0.34 0.35 0.20 0.43 0.27 0.39 0.39 0.48 0.30 0.55 0.27 -9.9% 1.6%

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

Intra-portfolio diversification = 0.39
Portfolio return = -3.7%
Start Date = 2014-06-23
End Date = 2014-09-19

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.