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 3.5% 0.6%
iShares MSCI South Africa Index EZA 0.69 8.1% 1.8%
iShares MSCI France Index Fund EWQ 0.70 0.71 5.9% 0.9%
iShares MSCI Germany Index Fund EWG 0.69 0.69 0.93 9.0% 1.0%
iShares MSCI Canada Index Fund EWC 0.75 0.69 0.75 0.69 4.8% 0.9%
iShares MSCI Sweden Index EWD 0.67 0.71 0.88 0.89 0.67 6.0% 1.0%
iShares MSCI United Kingdom Index EWU 0.67 0.67 0.88 0.81 0.78 0.80 3.2% 0.9%
iShares MSCI Australia Index EWA 0.79 0.75 0.73 0.72 0.80 0.72 0.74 7.9% 1.1%
iShares MSCI Japan Index Fund EWJ 0.65 0.56 0.63 0.60 0.57 0.60 0.57 0.63 10.0% 0.9%
iShares MSCI South Korea Index EWY 0.72 0.73 0.69 0.71 0.74 0.69 0.65 0.77 0.66 12.6% 1.2%
iShares MSCI Taiwan Index Fund EWT 0.69 0.74 0.63 0.65 0.67 0.63 0.62 0.72 0.52 0.85 12.3% 1.2%
iShares MSCI Brazil Index Fund EWZ 0.83 0.73 0.69 0.67 0.77 0.71 0.68 0.75 0.61 0.74 0.66 14.4% 1.8%
iShares MSCI Chile Investable Mkt Idx ECH 0.53 0.66 0.58 0.56 0.66 0.58 0.63 0.56 0.47 0.72 0.62 0.68 1.5% 1.0%
iShares MSCI Mexico Index EWW 0.69 0.75 0.69 0.67 0.65 0.66 0.64 0.64 0.59 0.74 0.65 0.71 0.70 -1.8% 1.4%
iShares MSCI Israel Index EIS 0.56 0.46 0.66 0.66 0.61 0.61 0.64 0.57 0.46 0.54 0.45 0.50 0.45 0.43 3.9% 0.6%
iShares MSCI Turkey Invest Mkt Index TUR 0.46 0.51 0.57 0.54 0.46 0.50 0.48 0.52 0.49 0.54 0.39 0.41 0.36 0.44 0.39 -1.9% 2.0%

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

Intra-portfolio diversification = 0.65
Portfolio return = 6.2%
Start Date = 2016-06-30
End Date = 2016-09-28

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

Notes

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