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 six months.

		^GSPC	EZA	EWQ	EWG	EWC	EWD	EWU	EWA	EWJ	EWY	EWT	EWZ	ECH	EWW	EIS	Return1	StdDev2
S&P 500 Index	^GSPC																7.3%	0.9%
iShares MSCI South Africa Index	EZA	0.86															2.9%	1.9%
iShares MSCI France Index Fund	EWQ	0.88	0.88														-3.4%	1.9%
iShares MSCI Germany Index Fund	EWG	0.89	0.89	0.96													2.0%	1.9%
iShares MSCI Canada Index Fund	EWC	0.87	0.83	0.85	0.85												-4.9%	1.3%
iShares MSCI Sweden Index	EWD	0.88	0.86	0.93	0.95	0.85											0.8%	2.0%
iShares MSCI United Kingdom Index	EWU	0.89	0.86	0.91	0.91	0.88	0.91										-1.1%	1.3%
iShares MSCI Australia Index	EWA	0.86	0.83	0.83	0.85	0.88	0.85	0.87									-5.0%	1.5%
iShares MSCI Japan Index Fund	EWJ	0.75	0.77	0.78	0.77	0.77	0.77	0.78	0.79								-1.1%	1.0%
iShares MSCI South Korea Index	EWY	0.83	0.77	0.77	0.79	0.81	0.82	0.80	0.82	0.77							0.0%	1.6%
iShares MSCI Taiwan Index Fund	EWT	0.66	0.64	0.63	0.61	0.67	0.64	0.65	0.73	0.65	0.74						-1.5%	1.4%
iShares MSCI Brazil Index Fund	EWZ	0.86	0.85	0.83	0.85	0.83	0.84	0.84	0.83	0.72	0.80	0.64					-12.9%	1.7%
iShares MSCI Chile Investable Mkt Idx	ECH	0.82	0.80	0.76	0.78	0.78	0.82	0.79	0.75	0.71	0.74	0.60	0.78				-1.0%	1.3%
iShares MSCI Mexico Index	EWW	0.85	0.83	0.84	0.85	0.85	0.86	0.87	0.84	0.73	0.81	0.64	0.84	0.78			3.2%	1.4%
iShares MSCI Israel Index	EIS	0.76	0.71	0.66	0.71	0.66	0.69	0.72	0.68	0.55	0.67	0.54	0.72	0.67	0.69		-7.8%	1.4%
iShares MSCI Turkey Invest Mkt Index	TUR	0.81	0.82	0.82	0.85	0.74	0.82	0.77	0.77	0.72	0.75	0.59	0.82	0.76	0.78	0.74	5.7%	2.1%

Select Period:

Intra-portfolio diversification	= 0.78
Portfolio return	= -1.1%
Start Date	= 2011-11-17
End Date	= 2012-05-17

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.