Correlation Matrices for Canadian Investors  
19781989 and 19781997International Investing: A New Canadian Perspective is an article on global diversification that includes two correlation matrices, one from 19781989, and the other from 19781997. It originally appeared in the Winter 1998 edition of Canadian Investment Review.19871996Here'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.
Note: All correlation values are based on CA$ returns over the 10 years ending 31Dec96.
Correlation Coefficients Among Asset ClassesFrom 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 MarketsHere'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 30Jan1998 to 30Jun1998: MSCI Correlation Matrix.
