Correlation Matrices for Canadian Investors

Correlation Matrices for Canadian Investors

1978-1989 and 1978-1997

International Investing: A New Canadian Perspective is an article on global diversification that includes two correlation matrices, one from 1978-1989, and the other from 1978-1997. It originally appeared in the Winter 1998 edition of Canadian Investment Review.

1987-1996

Here's a table of asset class correlations taken from the article Best correlation bets by Rudy Luukko. It was originally published in the February 15th, 1997 edition of the Financial Post, but unfortunately the article is no longer on the FP website.

TSE 300 NB Cdn
SmCap S&P 500 MSCI
EAFE Emerg
Mkts SCM
UB World
Bond
TSE 300 1.0
Nesbitt Burns Cdn Small Cap 0.89 1.0
S&P 500 0.71 0.59 1.0
MSCI EAFE 0.46 0.41 0.47 1.0
Emerging Markets 0.35 0.36 0.35 0.32 1.0
SCM Universe Bond 0.19 0.02 0.13 0.05 -0.11 1.0
World Bonds -0.14 -0.21 0.06 0.41 -0.22 0.14 1.0

Note: All correlation values are based on CA$ returns over the 10 years ending 31Dec96.
Source: Ibbotson Assoc.

Correlation Coefficients Among Asset Classes

From Bill Bernstein's Efficient Frontier website and the 1998 edition of The Intelligent Asset Allocator book, Correlation Coefficients Among Asset Classes.

Correlation Matrix for Developed World Equity Markets

Here's a matrix of correlations for equity markets of developed nations that are tracked by Morgan Stanley as reported by RIMES Technologies in US$ from 30-Jan-1998 to 30-Jun-1998: MSCI Correlation Matrix.