TSX Comp

TSX 60
MidCap
SmallCap
Materials
DivMetals
GlobalGold
Energy
RealEstate
Financials
Tech
Telecom
Health
ConDisc
ConStap
Uts

1.00
0.99
0.94
0.91
0.85
0.75
0.64
0.74
0.64
0.58
0.52
0.48
0.34
0.64
0.48
0.59

1.00
0.89
0.87
0.80
0.74
0.58
0.75
0.66
0.58
0.53
0.50
0.36
0.64
0.49
0.58

1.00
0.90
0.72
0.74
0.60
0.51
0.49
0.42
0.36
0.25
0.56
0.41
0.51

1.00
0.39
0.41
0.48
0.46
0.46
0.33
0.24
0.48
0.30
0.55

1.00
0.40
0.12
0.22
0.18
0.11
0.02
0.36
0.13
0.23

1.00
0.16
0.32
0.11
0.30
0.12
0.27
0.21
0.30

1.00
0.49
0.62
0.46
0.46
0.60
0.57
0.55

FXI

1.00
0.42
0.48
(0.01)
0.51
0.30
0.51

1.00
0.39
0.28
0.41
0.27
0.48

1.00
0.24
0.51
0.43
0.58

1.00
0.43
0.40
0.22

p

1.00
0.38
0.47

Uts

Co
nSt
a

Co
nD
isc

alt
h
He

Tel
eco
m

Tec
h

ls
Fi n
an
cia

sta
te
Re
alE

rgy
En
e

ls

1.00
0.76
0.87
0.53
0.33
0.40
0.36
0.24
0.17
0.49
0.28
0.42

Gl o
ba
l Go
ld

Ma
te

Sm

1.00
0.96
0.92
0.73
0.75
0.64
0.52
0.54
0.43
0.38
0.26
0.58
0.41
0.57

Div
Me
ta

ria
ls

ap
allC

ap
Mi
dC

60
TSX

TSX

Co
mp

S&P/TSX Sector Correlations

1.00
0.42

1.00

Global Index Correlations
TSX Comp
SPY
QQQ
EFA
EEM
EWA
EWJ
EWH
FXI
EWS
EWY
EWT
EWZ
EWW
IEV
EWU
EWP
EWI
EWG
EWQ

TSX Comp
1.00
0.61
0.56
0.64
0.59
0.62
0.54
0.50
0.53
0.54
0.57
0.53
0.57
0.51
0.58
0.68
0.34
0.42
0.42
0.49

SPY
1.00
0.93
0.89
0.83
0.84
0.62
0.69
0.72
0.70
0.75
0.72
0.60
0.81
0.87
0.89
0.67
0.79
0.79
0.85

QQQ

1.00
0.81
0.80
0.82
0.55
0.63
0.69
0.68
0.74
0.68
0.58
0.80
0.78
0.81
0.58
0.71
0.71
0.77

EFA

1.00
0.78
0.84
0.79
0.64
0.68
0.69
0.73
0.75
0.58
0.72
0.97
0.93
0.79
0.88
0.88
0.93

Note: Correlation of 3 Months of Daily Returns
Source: Yahoo! Finance

EEM

1.00
0.77
0.43
0.82
0.88
0.79
0.86
0.80
0.82
0.88
0.77
0.81
0.61
0.73
0.73
0.74

EWA

EWJ

EWH

1.00
0.61
0.64
0.67
0.71
0.74
0.72
0.62
0.73
0.79
0.84
0.61
0.72
0.72
0.76

1.00
0.45
0.44
0.46
0.45
0.50
0.31
0.41
0.65
0.61
0.44
0.55
0.55
0.62

1.00
0.85
0.83
0.70
0.74
0.61
0.74
0.59
0.65
0.45
0.60
0.60
0.58

1.00
0.81
0.73
0.71
0.69
0.74
0.65
0.69
0.54
0.66
0.66
0.63

EWS

EWY

EWT

1.00
0.76
0.77
0.53
0.69
0.65
0.68
0.54
0.64
0.64
0.62

1.00
0.82
0.66
0.74
0.71
0.75
0.52
0.66
0.66
0.67

1.00
0.53
0.68
0.72
0.72
0.60
0.68
0.68
0.71

EWZ

1.00
0.69
0.57
0.64
0.44
0.53
0.53
0.53

EWW

1.00
0.72
0.77
0.55
0.66
0.66
0.68

IEV

1.00
0.94
0.86
0.91
0.91
0.96

EWU

1.00
0.72
0.82
0.82
0.86

EWP

EWI

EWG

EWQ

1.00
0.92
0.92
0.88

1.00
1.00
0.92

1.00
0.92

1.00

1

TSX Comp
TSX 60
MidCap
SmallCap
Materials
DivMetals
GlobalGold
Energy
FXC
UUP
USO
UNG
UGA
GLD
SLV
JJC
GSG
TLH

1.00
0.99
0.94
0.91
0.85
0.75
0.64
0.74
0.26
(0.16)
0.19
0.18
0.31
0.41
0.53
0.50
0.38
(0.44)

1.00
0.96
0.92
0.73
0.75
0.64
0.27
(0.09)
0.20
0.19
0.32
0.54
0.63
0.47
0.38
(0.41)

1.00
0.90
0.72
0.74
0.60
0.33
(0.12)
0.18
0.18
0.32
0.55
0.64
0.48
0.37
(0.45)

1.00
0.76
0.87
0.53
0.13
0.00
0.21
0.13
0.33
0.67
0.70
0.46
0.37
(0.42)

old

1.00
0.39
0.41
0.27
(0.16)
(0.04)
0.03
0.10
0.21
0.27
0.55
0.21
(0.41)

En
e

rgy

Glo
ba
lG

Div
Me
tal
s

Ma
ter
ials

llC
a
Sm
a

ap

p
1.00
0.89
0.87
0.80
0.74
0.58
0.75
0.26
(0.18)
0.18
0.16
0.30
0.36
0.48
0.50
0.37
(0.44)

Mi
dC

60
TSX

TSX

Co
mp

S&P/TSX Sector & Commodity ETF Correlations

1.00
0.40
0.01
0.09
0.28
0.15
0.36
0.80
0.76
0.21
0.33
(0.36)

1.00
0.05
(0.25)
0.53
0.32
0.54
0.39
0.47
0.36
0.66
(0.16)

FXC

UUP

1.00
(0.43)
(0.21)
0.03
(0.01)
(0.11)
(0.05)
0.23
(0.05)
(0.30)

1.00
0.01
(0.06)
(0.16)
0.03
0.06
(0.18)
(0.18)
0.12

USO

1.00
0.21
0.68
0.53
0.50
0.16
0.86
0.08

UNG

1.00
0.17
0.15
0.18
0.12
0.30
(0.06)

UGA

1.00
0.49
0.44
0.20
0.82
0.06

GLD

SLV

JJC

GSG

1.00
0.82
0.13
0.49
(0.03)

1.00
0.22
0.47
(0.11)

1.00
0.38
(0.35)

1.00
(0.05)

TLH

1.00

1.00
0.64
0.58
0.52
0.48
0.34
0.64
0.48
0.59
0.26
(0.16)
0.19
0.18
0.31
0.41
0.53
0.50
0.38
(0.44)

1.00
0.42
0.48
(0.01)
0.51
0.30
0.51
0.31
(0.19)
(0.07)
0.15
(0.05)
0.03
0.17
0.34
0.05
(0.28)

1.00
0.24
0.51
0.43
0.58
0.27
(0.17)
(0.06)
0.14
0.00
(0.11)
(0.06)
0.28
0.06
(0.30)

Note: Correlation of 3 Months of Daily Returns
Source: Yahoo! Finance

1.00
0.43
0.40
0.22
0.09
0.09
(0.26)
0.02
(0.02)
(0.20)
(0.10)
0.05
(0.14)
(0.06)

1.00
0.38
0.47
0.16
(0.11)
(0.12)
0.08
0.03
0.04
0.27
0.26
0.06
(0.35)

p
Co
nSt
a

Co
nD
isc

alt
h
He

Tec
h
1.00
0.39
0.28
0.41
0.27
0.48
0.24
(0.09)
(0.17)
(0.31)
0.00
(0.04)
0.00
0.26
(0.05)
(0.39)

Tel
eco
m

te
sta
alE
Re

ls
1.00
0.49
0.62
0.46
0.46
0.60
0.57
0.55
0.39
(0.09)
(0.28)
0.01
(0.18)
(0.13)
0.01
0.32
(0.17)
(0.40)

1.00
0.42
0.42
(0.10)
(0.20)
0.01
(0.04)
0.07
0.08
0.17
(0.09)
(0.12)

Uts

TSX Comp
Financials
RealEstate
Tech
Telecom
Health
ConDisc
ConStap
Uts
FXC
UUP
USO
UNG
UGA
GLD
SLV
JJC
GSG
TLH

Fin
an
cia

TSX

Co
mp

S&P/TSX Sector & Commodity ETF Correlations (2)
FXC

UUP

1.00
0.30
(0.28)
(0.12)
0.10
0.03
0.04
0.03
0.24
0.03
(0.28)

1.00
(0.43)
(0.21)
0.03
(0.01)
(0.11)
(0.05)
0.23
(0.05)
(0.30)

1.00
0.01
(0.06)
(0.16)
0.03
0.06
(0.18)
(0.18)
0.12

USO

1.00
0.21
0.68
0.53
0.50
0.16
0.86
0.08

UNG

1.00
0.17
0.15
0.18
0.12
0.30
(0.06)

UGA

1.00
0.49
0.44
0.20
0.82
0.06

GLD

SLV

JJC

GSG

TLH

1.00
0.82
0.13
0.49
(0.03)

1.00
0.22
0.47
(0.11)

1.00
0.38
(0.35)

1.00
(0.05)

1.00

2

Change in Correlations to TSX Comp From Dec. 31, 2010
0.40

0.30

0.20

Chg. in Correlation

0.10

-

(0.10)

(0.20)

(0.30)

(0.40)

(0.50)

(0.60)

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

3

Change in Correlations to TSX Comp From Dec. 31, 2010
0.05

-

Chg. in Correlation

(0.05)

(0.10)

(0.15)

(0.20)

(0.25)
SPY

QQQ

EFA

EEM

EWA

EWJ

EWH

FXI

EWS

EWY

EWT

EWZ EWW

IEV

EWU EWP

EWI

EWG EWQ

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

4

Change in Correlations to TSX Comp From 1 Month Ago
0.30

0.20

Chg. in Correlation

0.10

-

(0.10)

(0.20)

(0.30)

(0.40)

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

5

Change in Correlations to TSX Comp From 1 Month Ago
0.20

Chg. in Correlation

0.15

0.10

0.05

-

(0.05)
SPY

QQQ

EFA

EEM

EWA

EWJ

EWH

FXI

EWS

EWY

EWT

EWZ EWW

IEV

EWU EWP

EWI

EWG EWQ

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

6

Change in Correlations to TSX Comp From 6 Months Ago
0.50

0.40

0.30

Chg. in Correlation

0.20

0.10

-

(0.10)

(0.20)

(0.30)

(0.40)

(0.50)

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

7

Change in Correlations to TSX Comp From 6 Months Ago
-

(0.05)

(0.10)

Chg. in Correlation

(0.15)

(0.20)

(0.25)

(0.30)

(0.35)

(0.40)

(0.45)
SPY

QQQ

EFA

EEM

EWA

EWJ

EWH

FXI

EWS

EWY

EWT

EWZ EWW

IEV

EWU EWP

EWI

EWG EWQ

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

8

Change in Correlations to TSX Comp From 1 Year Ago
0.40

0.30

0.20

Chg. in Correlation

0.10

-

(0.10)

(0.20)

(0.30)

(0.40)

(0.50)

(0.60)

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

9

Change in Correlations to TSX Comp From 1 Year Ago
0.05

-

(0.05)

Chg. in Correlation

(0.10)

(0.15)

(0.20)

(0.25)

(0.30)

(0.35)

(0.40)

(0.45)
SPY

QQQ

EFA

EEM

EWA

EWJ

EWH

FXI

EWS

EWY

EWT

EWZ EWW

IEV

EWU EWP

EWI

EWG EWQ

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite
Source: Yahoo! Finance

10

Notes
TSX Comp
TSX 60
TSX MidCap
TSX SmallCap
Energy
Financials
GlobalGold
Tech
ConsDisc
ConsStap
Health
Industrials
DivMetals
Materials
RealEstate
Telecom
Uts

S&P/TSX Composite
S&P/TSX 60 Capped
S&P/TSX MidCap
S&P/TSX SmallCap
S&P/TSX Capped Energy
S&P/TSX Capped Financials
S&P/TSX Global Gold
S&P/TSX Capped Information Tech
S&P/TSX Capped Consumer Discretionary
S&P/TSE Capped Consumer Staples
S&P/TSX Capped Health Care Inde
S&P/TSX Capped Industrials
S&P/TSX Capped Diversified Metals
S&P/TSX Capped Materials
S&P/TSX Capped Real Estate
S&P/TSX Capped Telecommunicatio
S&P/TSX Capped Utilities

FXC
UUP
USO
UNG
UGA
GLD
SLV
JJC
GSG
TLH

Rydex CurrencyShares Canadian Dollar
PowerShares DB USD Bullis
United States Oil
United States Natural Gas
United States Gasoline LP
SPDR Gold Trust
iShares Silver Trust
iPath Dow Jones UBS Copper Tota
iShares GSCI Commodity
iShares Lehman 10-20 Year Treasuries

SPY
QQQ
EFA
EEM
EWA
EWJ
EWH
FXI
EWS
EWY
EWT
EWZ
EWW
IEV
EWU
EWP
EWI
EWG
EWQ

SPDR S&P 500
PowerShares QQQ Trust, Series 1
iShares MSCI EAFE
iShares MSCI Emerging
iShares MSCI Australia
iShares MSCI Japan
iShares MSCI Hong Kong
iShares FTSE China 25
iShares MSCI Singapore
iShares MSCI South Korea
iShares MSCI Taiwan
iShares MSCI Brazil
iShares MSCI Mexico
iShares S&P Europe 350
iShares MSCI United Kingdom
iShares MSCI Spain
iShares MSCI Italy
iShares MSCI Germany
iShares MSCI France

11