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 two years.

^GSPC EZA EWQ EWG EWC EWD EWU EWA EWJ EWY EWT EWZ ECH EWW EIS Return1 StdDev2
S&P 500 Index ^GSPC 7.9% 1.3%
iShares MSCI South Africa Index EZA 0.85 6.8% 2.0%
iShares MSCI France Index Fund EWQ 0.90 0.84 -4.1% 2.2%
iShares MSCI Germany Index Fund EWG 0.90 0.84 0.97 2.2% 2.1%
iShares MSCI Canada Index Fund EWC 0.89 0.84 0.83 0.83 -2.1% 1.5%
iShares MSCI Sweden Index EWD 0.88 0.84 0.93 0.93 0.85 3.3% 2.4%
iShares MSCI United Kingdom Index EWU 0.92 0.87 0.93 0.92 0.86 0.90 7.0% 1.6%
iShares MSCI Australia Index EWA 0.90 0.85 0.86 0.85 0.88 0.86 0.89 4.0% 1.9%
iShares MSCI Japan Index Fund EWJ 0.76 0.69 0.76 0.76 0.71 0.75 0.76 0.76 -4.3% 1.3%
iShares MSCI South Korea Index EWY 0.85 0.80 0.79 0.80 0.81 0.80 0.84 0.86 0.73 5.4% 2.0%
iShares MSCI Taiwan Index Fund EWT 0.78 0.75 0.74 0.74 0.75 0.75 0.78 0.82 0.69 0.85 1.3% 1.5%
iShares MSCI Brazil Index Fund EWZ 0.83 0.85 0.80 0.80 0.84 0.80 0.83 0.85 0.66 0.82 0.74 -7.5% 1.8%
iShares MSCI Chile Investable Mkt Idx ECH 0.73 0.73 0.70 0.71 0.76 0.72 0.71 0.74 0.58 0.72 0.68 0.76 7.0% 1.6%
iShares MSCI Mexico Index EWW 0.88 0.86 0.83 0.83 0.85 0.84 0.87 0.86 0.70 0.85 0.77 0.88 0.77 6.3% 1.6%
iShares MSCI Israel Index EIS 0.80 0.73 0.78 0.79 0.73 0.77 0.79 0.76 0.66 0.72 0.68 0.71 0.64 0.76 -11.9% 1.6%
iShares MSCI Turkey Invest Mkt Index TUR 0.78 0.78 0.76 0.76 0.72 0.75 0.77 0.74 0.65 0.73 0.68 0.75 0.64 0.76 0.68 -6.7% 2.3%

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

Intra-portfolio diversification = 0.79
Portfolio return = 1.1%
Start Date = 2010-05-17
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

Notes

1 Returns for periods greater than a year are annualized.
2 Standard deviations are for daily returns.