Asset Classes

Sub-Classes

Your Portfolio

Correlation Over Time

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 Return StdDev
United States ^GSPC -25.1% 1.7%
South Africa EZA 0.89 4.3% 2.6%
France EWQ 0.91 0.84 -18.9% 2.8%
Germany EWG 0.90 0.83 0.97 -12.8% 2.1%
Canada EWC 0.94 0.89 0.86 0.86 -24.8% 1.9%
Sweden EWD 0.91 0.87 0.93 0.93 0.88 -11.4% 3.1%
United Kingdom EWU 0.92 0.86 0.94 0.92 0.88 0.92 -13.2% 2.1%
Australia EWA 0.92 0.86 0.87 0.85 0.91 0.87 0.87 -31.4% 2.8%
Japan EWJ 0.79 0.69 0.81 0.81 0.75 0.79 0.75 0.78 -26.2% 1.3%
South Korea EWY 0.86 0.80 0.82 0.82 0.86 0.84 0.84 0.90 0.78 -20.3% 2.3%
Taiwan EWT 0.83 0.82 0.83 0.82 0.81 0.85 0.81 0.90 0.82 0.90 -10.8% 1.8%
Brazil EWZ 0.88 0.85 0.85 0.82 0.88 0.87 0.86 0.93 0.80 0.87 0.85 -14.8% 2.5%
Chile ECH 0.76 0.75 0.73 0.73 0.76 0.76 0.74 0.77 0.60 0.74 0.71 0.80 55.4% 1.4%
Mexico EWW 0.92 0.91 0.88 0.87 0.93 0.90 0.89 0.93 0.79 0.89 0.88 0.94 0.82 -13.5% 2.1%
Israel EIS 0.84 0.78 0.84 0.82 0.80 0.84 0.78 0.84 0.72 0.77 0.81 0.78 0.67 0.81 -41.9% 2.0%
Turkey TUR 0.89 0.87 0.91 0.89 0.84 0.91 0.89 0.86 0.74 0.79 0.82 0.88 0.79 0.87 0.87 1.3% 2.7%

Period: [1 Mo] [3 Mo] [6 Mo] [1 Yr] [2 Yr]

Intra-portfolio diversification = 0.84
Portfolio return = -14.3%
Start Date = 2010-04-30
End Date = 2010-07-28

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

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