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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).
