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 month.

		^GSPC	EZA	EWQ	EWG	EWC	EWD	EWU	EWA	EWJ	EWY	EWT	EWZ	ECH	EWW	EIS	Return1	StdDev2
S&P 500 Index	^GSPC																-3.3%	0.7%
iShares MSCI South Africa Index	EZA	0.76															-5.0%	1.3%
iShares MSCI France Index Fund	EWQ	0.89	0.83														-7.0%	1.6%
iShares MSCI Germany Index Fund	EWG	0.91	0.80	0.91													-7.4%	1.4%
iShares MSCI Canada Index Fund	EWC	0.88	0.79	0.84	0.90												-7.0%	1.1%
iShares MSCI Sweden Index	EWD	0.78	0.71	0.81	0.91	0.79											-9.9%	1.8%
iShares MSCI United Kingdom Index	EWU	0.86	0.82	0.83	0.88	0.92	0.81										-4.5%	1.0%
iShares MSCI Australia Index	EWA	0.81	0.66	0.73	0.78	0.83	0.76	0.87									-7.1%	1.1%
iShares MSCI Japan Index Fund	EWJ	0.71	0.70	0.75	0.75	0.69	0.71	0.78	0.75								-8.2%	0.7%
iShares MSCI South Korea Index	EWY	0.73	0.50	0.61	0.61	0.63	0.67	0.74	0.84	0.70							-10.1%	1.1%
iShares MSCI Taiwan Index Fund	EWT	0.54	0.33	0.50	0.40	0.36	0.48	0.42	0.62	0.48	0.71						-6.9%	1.0%
iShares MSCI Brazil Index Fund	EWZ	0.67	0.79	0.73	0.76	0.69	0.76	0.81	0.64	0.64	0.50	0.39					-14.5%	1.2%
iShares MSCI Chile Investable Mkt Idx	ECH	0.60	0.68	0.64	0.68	0.69	0.77	0.73	0.59	0.61	0.58	0.31	0.69				-7.5%	1.1%
iShares MSCI Mexico Index	EWW	0.71	0.81	0.80	0.78	0.83	0.76	0.90	0.76	0.68	0.67	0.37	0.76	0.70			-6.9%	1.3%
iShares MSCI Israel Index	EIS	0.72	0.67	0.70	0.73	0.71	0.70	0.73	0.49	0.54	0.41	0.18	0.66	0.77	0.62		-7.2%	1.2%
iShares MSCI Turkey Invest Mkt Index	TUR	0.69	0.75	0.81	0.77	0.60	0.70	0.62	0.44	0.63	0.32	0.36	0.74	0.68	0.54	0.76	-5.6%	1.5%

Select Period:

Intra-portfolio diversification	= 0.69
Portfolio return	= -7.4%
Start Date	= 2012-04-16
End Date	= 2012-05-16

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.