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 0.3% 0.7%
iShares MSCI South Africa Index EZA 0.58 -12.6% 2.4%
iShares MSCI France Index Fund EWQ 0.76 0.61 -4.9% 0.9%
iShares MSCI Germany Index Fund EWG 0.76 0.58 0.92 -7.3% 0.9%
iShares MSCI Canada Index Fund EWC 0.73 0.60 0.69 0.60 0.2% 0.9%
iShares MSCI Sweden Index EWD 0.78 0.55 0.82 0.80 0.69 -6.3% 0.9%
iShares MSCI United Kingdom Index EWU 0.49 0.38 0.33 0.32 0.26 0.32 87.0% 6.5%
iShares MSCI Australia Index EWA 0.77 0.66 0.66 0.63 0.68 0.64 0.40 0.0% 1.1%
iShares MSCI Japan Index Fund EWJ 0.45 0.36 0.28 0.27 0.22 0.26 0.99 0.36 296.0% 9.5%
iShares MSCI South Korea Index EWY 0.61 0.79 0.63 0.60 0.63 0.60 0.30 0.78 0.29 -9.6% 1.4%
iShares MSCI Taiwan Index Fund EWT 0.50 0.46 0.34 0.33 0.29 0.32 0.99 0.44 0.99 0.39 94.5% 6.6%
iShares MSCI Brazil Index Fund EWZ 0.55 0.73 0.49 0.48 0.62 0.44 0.32 0.51 0.32 0.60 0.40 -9.4% 2.4%
iShares MSCI Chile Investable Mkt Idx ECH 0.47 0.70 0.59 0.54 0.65 0.46 0.33 0.49 0.30 0.51 0.37 0.71 -0.2% 1.2%
iShares MSCI Mexico Index EWW 0.35 0.66 0.42 0.39 0.44 0.22 0.32 0.47 0.33 0.67 0.40 0.71 0.65 -16.9% 2.3%
iShares MSCI Israel Index EIS 0.62 0.40 0.50 0.57 0.47 0.51 0.37 0.46 0.35 0.42 0.38 0.48 0.32 0.31 -7.5% 0.8%
iShares MSCI Turkey Invest Mkt Index TUR 0.49 0.71 0.47 0.52 0.49 0.46 0.27 0.50 0.27 0.63 0.34 0.69 0.60 0.51 0.35 -22.6% 1.8%

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

Intra-portfolio diversification = 0.51
Portfolio return = 23.8%
Start Date = 2016-09-06
End Date = 2016-12-02

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.