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																10.9%	0.7%
iShares MSCI South Africa Index	EZA	0.71															-5.3%	1.5%
iShares MSCI France Index Fund	EWQ	0.82	0.58														10.2%	1.2%
iShares MSCI Germany Index Fund	EWG	0.80	0.55	0.93													7.6%	1.1%
iShares MSCI Canada Index Fund	EWC	0.71	0.69	0.67	0.70												0.1%	0.9%
iShares MSCI Sweden Index	EWD	0.71	0.49	0.76	0.79	0.69											4.8%	1.1%
iShares MSCI United Kingdom Index	EWU	0.79	0.57	0.81	0.82	0.66	0.74										8.2%	0.7%
iShares MSCI Australia Index	EWA	0.69	0.63	0.64	0.68	0.73	0.59	0.59									-5.8%	1.2%
iShares MSCI Japan Index Fund	EWJ	0.50	0.33	0.36	0.38	0.25	0.35	0.38	0.40								14.2%	1.2%
iShares MSCI South Korea Index	EWY	0.54	0.48	0.39	0.48	0.49	0.45	0.45	0.44	0.20							-5.6%	1.2%
iShares MSCI Taiwan Index Fund	EWT	0.59	0.61	0.57	0.54	0.57	0.47	0.55	0.48	0.32	0.61						3.3%	1.0%
iShares MSCI Brazil Index Fund	EWZ	0.59	0.54	0.52	0.52	0.71	0.56	0.47	0.54	0.29	0.42	0.52					0.7%	1.1%
iShares MSCI Chile Investable Mkt Idx	ECH	0.68	0.69	0.55	0.51	0.64	0.47	0.54	0.60	0.32	0.41	0.51	0.54				-9.9%	0.8%
iShares MSCI Mexico Index	EWW	0.70	0.61	0.45	0.48	0.61	0.42	0.49	0.58	0.23	0.47	0.48	0.59	0.69			-4.0%	1.2%
iShares MSCI Israel Index	EIS	0.62	0.49	0.55	0.59	0.49	0.39	0.54	0.57	0.29	0.33	0.42	0.36	0.42	0.52		2.6%	0.7%
iShares MSCI Turkey Invest Mkt Index	TUR	0.47	0.48	0.36	0.31	0.34	0.36	0.17	0.38	0.20	0.35	0.30	0.29	0.46	0.42	0.33	19.7%	1.2%

Select Period:

Intra-portfolio diversification	= 0.52
Portfolio return	= 3.2%
Start Date	= 2013-02-25
End Date	= 2013-05-24

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

1 Returns for periods greater than a year are annualized.

2 Standard deviations are for daily returns.