World Market Correlation Summary

A global investor can reduce overall portfolio risk simply by holding instruments in multiple markets. The correlations of major world markets vary considerably through time and are highest during periods of economic integration and collaboration. In other words, investors can reduce their exposure to country risk by holding a diversified portfolio of global assets.

Run Custom Correlations


	0.27	0.54	0.14	-0.19	0.2	0.08	0.39	0.08	0.04	0.22	-0.62	0.21	0.26	-0.19	-0.25	0.39	0.0	0.51	0.0	0.2	0.43	0.3	0.13	0.04	0.01	0.17	0.54	0.04	0.06	-0.13	0.19	0.6	0.14	-0.13	0.01	0.43	0.05	0.36	0.0	0.21	0.42	GDAXI
0.27		0.91	-0.01	0.45	0.29	0.49	0.62	0.66	0.73	0.79	-0.19	0.93	0.07	0.74	-0.77	0.87	0.0	0.32	-0.39	0.11	0.83	0.91	0.15	-0.5	-0.9	0.85	0.8	0.84	0.18	-0.88	0.73	0.41	0.94	0.8	0.82	-0.41	0.78	0.78	-0.74	0.7	0.55	TWII
0.54	0.91		-0.01	0.22	0.44	0.49	0.69	0.46	0.67	0.78	-0.39	0.81	0.04	0.53	-0.8	0.87	0.0	0.48	-0.32	0.12	0.88	0.89	0.06	-0.47	-0.76	0.8	0.88	0.74	0.18	-0.78	0.58	0.53	0.82	0.63	0.62	-0.21	0.58	0.8	-0.63	0.6	0.69	PSI20
0.14	-0.01	-0.01		-0.03	-0.38	-0.41	-0.35	0.09	-0.33	-0.26	0.21	0.0	0.54	-0.24	0.3	-0.26	0.0	-0.42	0.13	0.55	0.03	-0.22	0.5	0.38	0.2	-0.27	0.04	-0.2	0.24	0.09	0.27	-0.03	-0.1	-0.35	0.1	0.2	0.0	-0.2	0.37	0.18	-0.34	OMXCPI
-0.19	0.45	0.22	-0.03		-0.34	0.04	0.04	0.74	0.14	0.1	0.33	0.66	0.31	0.69	-0.13	0.34	0.0	-0.21	-0.09	0.04	0.3	0.3	0.36	0.16	-0.46	0.37	0.32	0.4	0.31	-0.4	0.68	-0.02	0.53	0.49	0.6	-0.45	0.69	0.11	-0.31	0.64	-0.01	CRBEX
0.2	0.29	0.44	-0.38	-0.34		0.69	0.57	-0.24	0.72	0.6	-0.15	0.11	-0.51	0.02	-0.75	0.53	0.0	0.61	-0.04	-0.36	0.44	0.57	-0.72	-0.68	-0.32	0.64	0.39	0.51	0.11	-0.29	-0.22	0.48	0.24	0.4	0.0	-0.11	0.02	0.5	-0.41	-0.32	0.78	BUX
0.08	0.49	0.49	-0.41	0.04	0.69		0.64	0.1	0.66	0.72	-0.13	0.39	-0.54	0.36	-0.7	0.67	0.0	0.62	-0.2	-0.54	0.5	0.7	-0.56	-0.52	-0.53	0.73	0.51	0.61	0.24	-0.47	0.07	0.19	0.57	0.63	0.2	-0.15	0.4	0.54	-0.54	-0.09	0.77	IDX30
0.39	0.62	0.69	-0.35	0.04	0.57	0.64		0.27	0.73	0.78	-0.53	0.51	-0.27	0.47	-0.72	0.87	0.0	0.82	-0.46	-0.24	0.48	0.8	-0.16	-0.5	-0.66	0.72	0.66	0.64	-0.04	-0.73	0.35	0.57	0.63	0.66	0.39	0.07	0.35	0.91	-0.75	0.27	0.76	IETP
0.08	0.66	0.46	0.09	0.74	-0.24	0.1	0.27		0.33	0.4	0.09	0.78	0.3	0.75	-0.3	0.55	0.0	-0.06	-0.11	0.09	0.37	0.52	0.52	0.03	-0.64	0.5	0.44	0.6	0.13	-0.59	0.87	0.28	0.65	0.61	0.8	-0.44	0.66	0.44	-0.55	0.8	0.03	NYA
0.04	0.73	0.67	-0.33	0.14	0.72	0.66	0.73	0.33		0.88	-0.1	0.6	-0.35	0.57	-0.91	0.82	0.0	0.49	-0.32	-0.24	0.6	0.87	-0.34	-0.8	-0.84	0.88	0.56	0.87	-0.07	-0.77	0.34	0.56	0.69	0.84	0.58	-0.45	0.45	0.8	-0.85	0.25	0.65	SHARIAH
0.22	0.79	0.78	-0.26	0.1	0.6	0.72	0.78	0.4	0.88		-0.32	0.66	-0.33	0.57	-0.87	0.86	0.0	0.55	-0.38	-0.28	0.66	0.9	-0.25	-0.71	-0.83	0.83	0.71	0.82	-0.06	-0.81	0.44	0.52	0.76	0.8	0.55	-0.34	0.44	0.87	-0.79	0.37	0.67	TA35
-0.62	-0.19	-0.39	0.21	0.33	-0.15	-0.13	-0.53	0.09	-0.1	-0.32		-0.08	0.07	0.06	0.2	-0.32	0.0	-0.62	0.28	0.04	-0.2	-0.26	-0.02	0.19	0.11	-0.06	-0.33	0.03	0.32	0.25	-0.03	-0.3	-0.15	0.02	0.07	-0.37	0.06	-0.48	0.17	-0.13	-0.35	NIFCODU
0.21	0.93	0.81	0.0	0.66	0.11	0.39	0.51	0.78	0.6	0.66	-0.08		0.14	0.8	-0.64	0.8	0.0	0.18	-0.32	0.09	0.76	0.82	0.31	-0.32	-0.86	0.78	0.74	0.81	0.28	-0.85	0.82	0.34	0.9	0.78	0.85	-0.46	0.85	0.67	-0.67	0.79	0.43	APACXJ
0.26	0.07	0.04	0.54	0.31	-0.51	-0.54	-0.27	0.3	-0.35	-0.33	0.07	0.14		-0.04	0.27	-0.11	0.0	-0.4	0.14	0.61	0.1	-0.18	0.54	0.5	0.14	-0.21	0.16	-0.27	0.12	0.11	0.37	0.13	-0.05	-0.28	0.13	0.17	0.18	-0.17	0.33	0.38	-0.25	OMXIPI
-0.19	0.74	0.53	-0.24	0.69	0.02	0.36	0.47	0.75	0.57	0.57	0.06	0.8	-0.04		-0.47	0.67	0.0	0.14	-0.4	-0.1	0.39	0.67	0.25	-0.31	-0.84	0.68	0.45	0.76	0.07	-0.77	0.69	0.11	0.8	0.87	0.8	-0.54	0.71	0.6	-0.76	0.68	0.25	MXX
-0.25	-0.77	-0.8	0.3	-0.13	-0.75	-0.7	-0.72	-0.3	-0.91	-0.87	0.2	-0.64	0.27	-0.47		-0.86	0.0	-0.53	0.28	0.27	-0.77	-0.9	0.39	0.75	0.78	-0.89	-0.73	-0.82	-0.09	0.73	-0.31	-0.59	-0.72	-0.77	-0.49	0.4	-0.47	-0.78	0.71	-0.29	-0.79	BMCON
0.39	0.87	0.87	-0.26	0.34	0.53	0.67	0.87	0.55	0.82	0.86	-0.32	0.8	-0.11	0.67	-0.86		0.0	0.64	-0.37	-0.16	0.73	0.95	-0.1	-0.52	-0.84	0.91	0.83	0.83	0.13	-0.84	0.58	0.59	0.86	0.83	0.62	-0.24	0.62	0.91	-0.8	0.51	0.77	IBEX
0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	MERV
0.51	0.32	0.48	-0.42	-0.21	0.61	0.62	0.82	-0.06	0.49	0.55	-0.62	0.18	-0.4	0.14	-0.53	0.64	0.0		-0.42	-0.39	0.3	0.54	-0.37	-0.42	-0.32	0.49	0.44	0.34	-0.07	-0.4	-0.04	0.46	0.36	0.37	0.01	0.3	0.09	0.68	-0.45	-0.05	0.73	ATX
0.0	-0.39	-0.32	0.13	-0.09	-0.04	-0.2	-0.46	-0.11	-0.32	-0.38	0.28	-0.32	0.14	-0.4	0.28	-0.37	0.0	-0.42		0.09	-0.2	-0.38	-0.06	0.47	0.5	-0.25	-0.17	-0.3	0.24	0.56	-0.2	0.0	-0.46	-0.37	-0.31	0.0	-0.32	-0.49	0.41	-0.32	-0.17	AXDI
0.2	0.11	0.12	0.55	0.04	-0.36	-0.54	-0.24	0.09	-0.24	-0.28	0.04	0.09	0.61	-0.1	0.27	-0.16	0.0	-0.39	0.09		0.09	-0.15	0.58	0.31	0.1	-0.2	0.06	-0.15	0.06	0.02	0.27	0.07	-0.03	-0.31	0.15	0.21	0.06	-0.11	0.22	0.26	-0.32	VNI
0.43	0.83	0.88	0.03	0.3	0.44	0.5	0.48	0.37	0.6	0.66	-0.2	0.76	0.1	0.39	-0.77	0.73	0.0	0.3	-0.2	0.09		0.81	-0.1	-0.46	-0.65	0.76	0.85	0.66	0.37	-0.64	0.48	0.39	0.76	0.52	0.52	-0.29	0.66	0.56	-0.43	0.47	0.68	NGSEASI
0.3	0.91	0.89	-0.22	0.3	0.57	0.7	0.8	0.52	0.87	0.9	-0.26	0.82	-0.18	0.67	-0.9	0.95	0.0	0.54	-0.38	-0.15	0.81		-0.12	-0.63	-0.9	0.95	0.8	0.9	0.14	-0.87	0.58	0.51	0.88	0.84	0.7	-0.35	0.67	0.86	-0.83	0.49	0.75	BETNG
0.13	0.15	0.06	0.5	0.36	-0.72	-0.56	-0.16	0.52	-0.34	-0.25	-0.02	0.31	0.54	0.25	0.39	-0.1	0.0	-0.37	-0.06	0.58	-0.1	-0.12		0.47	-0.05	-0.23	-0.01	-0.06	0.0	-0.16	0.6	-0.06	0.08	-0.1	0.44	0.08	0.25	-0.02	0.02	0.65	-0.49	ASCX
0.04	-0.5	-0.47	0.38	0.16	-0.68	-0.52	-0.5	0.03	-0.8	-0.71	0.19	-0.32	0.5	-0.31	0.75	-0.52	0.0	-0.42	0.47	0.31	-0.46	-0.63	0.47		0.63	-0.6	-0.29	-0.63	0.23	0.58	0.03	-0.31	-0.45	-0.57	-0.31	0.43	-0.21	-0.57	0.6	-0.03	-0.5	OSEFX
0.01	-0.9	-0.76	0.2	-0.46	-0.32	-0.53	-0.66	-0.64	-0.84	-0.83	0.11	-0.86	0.14	-0.84	0.78	-0.84	0.0	-0.32	0.5	0.1	-0.65	-0.9	-0.05	0.63		-0.85	-0.62	-0.9	0.02	0.93	-0.66	-0.34	-0.91	-0.92	-0.83	0.52	-0.71	-0.8	0.88	-0.64	-0.47	BELS
0.17	0.85	0.8	-0.27	0.37	0.64	0.73	0.72	0.5	0.88	0.83	-0.06	0.78	-0.21	0.68	-0.89	0.91	0.0	0.49	-0.25	-0.2	0.76	0.95	-0.23	-0.6	-0.85		0.73	0.93	0.25	-0.78	0.52	0.48	0.83	0.87	0.67	-0.45	0.65	0.77	-0.81	0.38	0.76	OMXH25
0.54	0.8	0.88	0.04	0.32	0.39	0.51	0.66	0.44	0.56	0.71	-0.33	0.74	0.16	0.45	-0.73	0.83	0.0	0.44	-0.17	0.06	0.85	0.8	-0.01	-0.29	-0.62	0.73		0.6	0.35	-0.65	0.57	0.56	0.75	0.54	0.47	-0.1	0.55	0.7	-0.45	0.52	0.73	SBF120
0.04	0.84	0.74	-0.2	0.4	0.51	0.61	0.64	0.6	0.87	0.82	0.03	0.81	-0.27	0.76	-0.82	0.83	0.0	0.34	-0.3	-0.15	0.66	0.9	-0.06	-0.63	-0.9	0.93	0.6		0.14	-0.85	0.58	0.43	0.81	0.89	0.79	-0.56	0.65	0.74	-0.85	0.49	0.56	IMAT
0.06	0.18	0.18	0.24	0.31	0.11	0.24	-0.04	0.13	-0.07	-0.06	0.32	0.28	0.12	0.07	-0.09	0.13	0.0	-0.07	0.24	0.06	0.37	0.14	0.0	0.23	0.02	0.25	0.35	0.14		0.0	0.15	-0.13	0.2	0.07	0.05	0.0	0.4	-0.1	0.18	-0.03	0.3	OMXSMCPI
-0.13	-0.88	-0.78	0.09	-0.4	-0.29	-0.47	-0.73	-0.59	-0.77	-0.81	0.25	-0.85	0.11	-0.77	0.73	-0.84	0.0	-0.4	0.56	0.02	-0.64	-0.87	-0.16	0.58	0.93	-0.78	-0.65	-0.85	0.0		-0.7	-0.4	-0.87	-0.83	-0.8	0.37	-0.66	-0.87	0.85	-0.67	-0.47	BUKCONSN
0.19	0.73	0.58	0.27	0.68	-0.22	0.07	0.35	0.87	0.34	0.44	-0.03	0.82	0.37	0.69	-0.31	0.58	0.0	-0.04	-0.2	0.27	0.48	0.58	0.6	0.03	-0.66	0.52	0.57	0.58	0.15	-0.7		0.31	0.71	0.57	0.86	-0.3	0.68	0.52	-0.55	0.86	0.11	GSPTXDV
0.6	0.41	0.53	-0.03	-0.02	0.48	0.19	0.57	0.28	0.56	0.52	-0.3	0.34	0.13	0.11	-0.59	0.59	0.0	0.46	0.0	0.07	0.39	0.51	-0.06	-0.31	-0.34	0.48	0.56	0.43	-0.13	-0.4	0.31		0.26	0.31	0.28	0.03	0.12	0.62	-0.39	0.24	0.49	SLI
0.14	0.94	0.82	-0.1	0.53	0.24	0.57	0.63	0.65	0.69	0.76	-0.15	0.9	-0.05	0.8	-0.72	0.86	0.0	0.36	-0.46	-0.03	0.76	0.88	0.08	-0.45	-0.91	0.83	0.75	0.81	0.2	-0.87	0.71	0.26		0.85	0.78	-0.41	0.77	0.75	-0.75	0.66	0.53	KOSDAQ
-0.13	0.8	0.63	-0.35	0.49	0.4	0.63	0.66	0.61	0.84	0.8	0.02	0.78	-0.28	0.87	-0.77	0.83	0.0	0.37	-0.37	-0.31	0.52	0.84	-0.1	-0.57	-0.92	0.87	0.54	0.89	0.07	-0.83	0.57	0.31	0.85		0.74	-0.56	0.64	0.76	-0.88	0.5	0.52	CFMDIVO
0.01	0.82	0.62	0.1	0.6	0.0	0.2	0.39	0.8	0.58	0.55	0.07	0.85	0.13	0.8	-0.49	0.62	0.0	0.01	-0.31	0.15	0.52	0.7	0.44	-0.31	-0.83	0.67	0.47	0.79	0.05	-0.8	0.86	0.28	0.78	0.74		-0.55	0.72	0.56	-0.73	0.79	0.17	000906
0.43	-0.41	-0.21	0.2	-0.45	-0.11	-0.15	0.07	-0.44	-0.45	-0.34	-0.37	-0.46	0.17	-0.54	0.4	-0.24	0.0	0.3	0.0	0.21	-0.29	-0.35	0.08	0.43	0.52	-0.45	-0.1	-0.56	0.0	0.37	-0.3	0.03	-0.41	-0.56	-0.55		-0.35	-0.1	0.44	-0.36	0.0	ATG
0.05	0.78	0.58	0.0	0.69	0.02	0.4	0.35	0.66	0.45	0.44	0.06	0.85	0.18	0.71	-0.47	0.62	0.0	0.09	-0.32	0.06	0.66	0.67	0.25	-0.21	-0.71	0.65	0.55	0.65	0.4	-0.66	0.68	0.12	0.77	0.64	0.72	-0.35		0.43	-0.5	0.57	0.38	SET
0.36	0.78	0.8	-0.2	0.11	0.5	0.54	0.91	0.44	0.8	0.87	-0.48	0.67	-0.17	0.6	-0.78	0.91	0.0	0.68	-0.49	-0.11	0.56	0.86	-0.02	-0.57	-0.8	0.77	0.7	0.74	-0.1	-0.87	0.52	0.62	0.75	0.76	0.56	-0.1	0.43		-0.82	0.47	0.64	PX
0.0	-0.74	-0.63	0.37	-0.31	-0.41	-0.54	-0.75	-0.55	-0.85	-0.79	0.17	-0.67	0.33	-0.76	0.71	-0.8	0.0	-0.45	0.41	0.22	-0.43	-0.83	0.02	0.6	0.88	-0.81	-0.45	-0.85	0.18	0.85	-0.55	-0.39	-0.75	-0.88	-0.73	0.44	-0.5	-0.82		-0.49	-0.46	PSEI
0.21	0.7	0.6	0.18	0.64	-0.32	-0.09	0.27	0.8	0.25	0.37	-0.13	0.79	0.38	0.68	-0.29	0.51	0.0	-0.05	-0.32	0.26	0.47	0.49	0.65	-0.03	-0.64	0.38	0.52	0.49	-0.03	-0.67	0.86	0.24	0.66	0.5	0.79	-0.36	0.57	0.47	-0.49		0.01	KSE100
0.42	0.55	0.69	-0.34	-0.01	0.78	0.77	0.76	0.03	0.65	0.67	-0.35	0.43	-0.25	0.25	-0.79	0.77	0.0	0.73	-0.17	-0.32	0.68	0.75	-0.49	-0.5	-0.47	0.76	0.73	0.56	0.3	-0.47	0.11	0.49	0.53	0.52	0.17	0.0	0.38	0.64	-0.46	0.01		WIG30

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BETNG	+ 0.95	IBEX
OMXH25	+ 0.95	BETNG
KOSDAQ	+ 0.94	TWII
APACXJ	+ 0.93	TWII
BUKCONSN	+ 0.93	BELS
IMAT	+ 0.93	OMXH25

High negative correlations

CFMDIVO	- 0.92	BELS
KOSDAQ	- 0.91	BELS
BMCON	- 0.91	SHARIAH
IMAT	- 0.9	BELS
BELS	- 0.9	BETNG
BETNG	- 0.9	BMCON

Investors' overexposure to a single market brings diversification risk in a portfolio, leaving it vulnerable to losses in that economy and underexposes it to markets in other parts of the world. For the same reason, if you are currently managing a portfolio composed of equities from multiple global markets, you don't want your positions to be highly correlated, even at the expense of accepting lower expected returns. Generally speaking, low correlations across different markets is the main idea behind global portfolio diversification, and without it, there's no benefit to the rebalancing of internationally exposed portfolios. The correlation table belows shows 90 days (short-term) correlation pairs for indexes from 30 major world markets.

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World Market Correlation Summary

Correlation Matchups

High positive correlations

High negative correlations

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