simon cassidy

International ETFs: Correlations with Broad U.S. Market

I hadn't realized how big the difference between correlations for returns and prices are. Thanks for directing me to the other article. However, the figures still seem off. When I ran a one year correlation for IWV and EFA using daily returns, the figure was .80. When using prices, it was .94. Both of these are a long way from the .09 IShares claims on their calculator. I'd guess that EPP, EEM, FXI, etc. are also off. These figures would drastically overstate how easy it is to develop a diversified portfolio.

International ETFs: Correlations with Broad U.S. Market

Hi Richard,

I've been looking for correlations similar to the ones you provided but have come up with vastly different numbers. I don't think that any of the ETFs you mention should have a correlation (based on 1 year) to the U.S. of close to zero. PortfolioScience.com lists most of these correlations as above .50, while State Street lists some at above .90 (!). While I'm not sure how accurate Portfolio Science is, State Street and IShares seem way off. Any thoughts on this? I'd love to know what the right numbers are.

Simon