Table: Correlations, Returns and St. Deviations Across National Equity Markets (CH11)

Dr. Kevin Bracker, Dr. Fang Lin and Jennifer Pursley

Use the table below to review correlations, returns and standard deviations across national equity markets.

Table: Correlations, Returns and St. Deviations Across National Equity Markets from Jan. 2011 – Dec. 2020

Markets US Japan UK Canada France China Brazil S. Korea Taiwan S. Africa
US 1.00
Japan 0.67 1.00
UK 0.84 0.66 1.00
Canada 0.85 0.56 0.84 1.00
France 0.80 0.63 0.90 0.78 1.00
China 0.65 0.51 0.66 0.67 0.62 1.00
Brazil 0.55 0.40 0.63 0.71 0.60 0.56 1.00
S. Korea 0.68 0.56 0.73 0.71 0.73 0.78 0.63 1.00
Taiwan 0.70 0.58 0.64 0.67 0.66 0.73 0.61 0.81 1.00
S. Africa 0.64 0.53 0.67 0.72 0.64 0.62 0.76 0.73 0.67 1.00
Annual Return 13.79% 6.17% 2.26% 2.13% 5.77% 7.65% -4.36% 5.01% 8.21% -1.37%
St. Deviation 14.43% 14.32% 16.86%  17.41% 19.43% 21.25% 33.96% 21.85% 17.89% 24.23%

The data is based on monthly returns from Exchange Traded Funds.  Specifically, the Vanguard Total Market Index (VTI) for the US, the SPDR S&P China (GXC), and the iShares MSCI Country ETFs for each of the other countries (EWJ, EWU, EWC, EWQ, EWZ, EWY, EWT, EZA).

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Table: Correlations, Returns and St. Deviations Across National Equity Markets (CH11) by Dr. Kevin Bracker, Dr. Fang Lin and Jennifer Pursley is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License, except where otherwise noted.

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