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																-4.1%	0.8%
iShares MSCI South Africa Index	EZA	0.79															-7.9%	1.5%
iShares MSCI France Index Fund	EWQ	0.85	0.82														-14.2%	1.7%
iShares MSCI Germany Index Fund	EWG	0.87	0.83	0.95													-12.0%	1.6%
iShares MSCI Canada Index Fund	EWC	0.87	0.83	0.83	0.86												-11.0%	1.2%
iShares MSCI Sweden Index	EWD	0.83	0.81	0.91	0.94	0.83											-15.8%	1.9%
iShares MSCI United Kingdom Index	EWU	0.88	0.83	0.89	0.90	0.87	0.87										-10.1%	1.2%
iShares MSCI Australia Index	EWA	0.84	0.76	0.79	0.81	0.87	0.83	0.84									-8.7%	1.2%
iShares MSCI Japan Index Fund	EWJ	0.63	0.73	0.68	0.70	0.68	0.68	0.66	0.64								-9.5%	0.8%
iShares MSCI South Korea Index	EWY	0.78	0.67	0.66	0.67	0.72	0.74	0.75	0.77	0.60							-12.1%	1.3%
iShares MSCI Taiwan Index Fund	EWT	0.57	0.55	0.56	0.53	0.56	0.58	0.55	0.65	0.59	0.73						-8.8%	1.2%
iShares MSCI Brazil Index Fund	EWZ	0.80	0.81	0.75	0.77	0.80	0.77	0.83	0.76	0.58	0.72	0.58					-25.0%	1.4%
iShares MSCI Chile Investable Mkt Idx	ECH	0.78	0.78	0.71	0.75	0.79	0.79	0.77	0.72	0.61	0.74	0.47	0.79				-11.3%	1.1%
iShares MSCI Mexico Index	EWW	0.82	0.80	0.80	0.80	0.84	0.80	0.85	0.76	0.64	0.77	0.53	0.80	0.81			-8.2%	1.2%
iShares MSCI Israel Index	EIS	0.72	0.58	0.56	0.60	0.64	0.61	0.64	0.56	0.39	0.64	0.38	0.65	0.70	0.66		-9.2%	1.2%
iShares MSCI Turkey Invest Mkt Index	TUR	0.78	0.75	0.75	0.76	0.73	0.77	0.74	0.64	0.61	0.66	0.56	0.77	0.76	0.72	0.75	-9.6%	1.5%

Select Period:

Intra-portfolio diversification	= 0.73
Portfolio return	= -11.1%
Start Date	= 2012-02-17
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.