Canadian Market Correlations Apr 7-8 2011

S&P/TSX Sector Correlations
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TSX Comp 1.00
TSX 60 0.99 1.00
MidCap 0.94 0.89 1.00
SmallCap 0.91 0.87 0.96 1.00
Materials 0.85 0.80 0.92 0.90 1.00
DivMetals 0.75 0.74 0.73 0.72 0.76 1.00
GlobalGold 0.64 0.58 0.75 0.74 0.87 0.39 1.00
Energy 0.74 0.75 0.64 0.60 0.53 0.41 0.40 1.00
RealEstate 0.64 0.66 0.52 0.51 0.33 0.48 0.12 0.16 1.00
Financials 0.58 0.58 0.54 0.49 0.40 0.46 0.22 0.32 0.49 1.00
Tech 0.52 0.53 0.43 0.42 0.36 0.46 0.18 0.11 0.62 0.42 1.00
Telecom 0.48 0.50 0.38 0.36 0.24 0.33 0.11 0.30 0.46 0.48 0.39 1.00
Health 0.34 0.36 0.26 0.25 0.17 0.24 0.02 0.12 0.46 (0.01) 0.28 0.24 1.00
ConDisc 0.64 0.64 0.58 0.56 0.49 0.48 0.36 0.27 0.60 0.51 0.41 0.51 0.43 1.00
ConStap 0.48 0.49 0.41 0.41 0.28 0.30 0.13 0.21 0.57 0.30 0.27 0.43 0.40 0.38 1.00
Uts 0.59 0.58 0.57 0.51 0.42 0.55 0.23 0.30 0.55 0.51 0.48 0.58 0.22 0.47 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
SPY 0.61 1.00
QQQ 0.56 0.93 1.00
EFA 0.64 0.89 0.81 1.00
EEM 0.59 0.83 0.80 0.78 1.00
EWA 0.62 0.84 0.82 0.84 0.77 1.00
EWJ 0.54 0.62 0.55 0.79 0.43 0.61 1.00
EWH 0.50 0.69 0.63 0.64 0.82 0.64 0.45 1.00
FXI 0.53 0.72 0.69 0.68 0.88 0.67 0.44 0.85 1.00
EWS 0.54 0.70 0.68 0.69 0.79 0.71 0.46 0.83 0.81 1.00
EWY 0.57 0.75 0.74 0.73 0.86 0.74 0.45 0.70 0.73 0.76 1.00
EWT 0.53 0.72 0.68 0.75 0.80 0.72 0.50 0.74 0.71 0.77 0.82 1.00
EWZ 0.57 0.60 0.58 0.58 0.82 0.62 0.31 0.61 0.69 0.53 0.66 0.53 1.00
EWW 0.51 0.81 0.80 0.72 0.88 0.73 0.41 0.74 0.74 0.69 0.74 0.68 0.69 1.00
IEV 0.58 0.87 0.78 0.97 0.77 0.79 0.65 0.59 0.65 0.65 0.71 0.72 0.57 0.72 1.00
EWU 0.68 0.89 0.81 0.93 0.81 0.84 0.61 0.65 0.69 0.68 0.75 0.72 0.64 0.77 0.94 1.00
EWP 0.34 0.67 0.58 0.79 0.61 0.61 0.44 0.45 0.54 0.54 0.52 0.60 0.44 0.55 0.86 0.72 1.00
EWI 0.42 0.79 0.71 0.88 0.73 0.72 0.55 0.60 0.66 0.64 0.66 0.68 0.53 0.66 0.91 0.82 0.92 1.00
EWG 0.42 0.79 0.71 0.88 0.73 0.72 0.55 0.60 0.66 0.64 0.66 0.68 0.53 0.66 0.91 0.82 0.92 1.00 1.00
EWQ 0.49 0.85 0.77 0.93 0.74 0.76 0.62 0.58 0.63 0.62 0.67 0.71 0.53 0.68 0.96 0.86 0.88 0.92 0.92 1.00
Note: Correlation of 3 Months of Daily Returns 1
Source: Yahoo! Finance
S&P/TSX Sector & Commodity ETF Correlations
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FXC UUP USO UNG UGA GLD SLV JJC GSG TLH
TSX Comp 1.00
TSX 60 0.99 1.00
MidCap 0.94 0.89 1.00
SmallCap 0.91 0.87 0.96 1.00
Materials 0.85 0.80 0.92 0.90 1.00
DivMetals 0.75 0.74 0.73 0.72 0.76 1.00
GlobalGold 0.64 0.58 0.75 0.74 0.87 0.39 1.00
Energy 0.74 0.75 0.64 0.60 0.53 0.41 0.40 1.00
FXC 0.26 0.26 0.27 0.33 0.13 0.27 0.01 0.05 1.00
UUP (0.16) (0.18) (0.09) (0.12) 0.00 (0.16) 0.09 (0.25) (0.43) 1.00
USO 0.19 0.18 0.20 0.18 0.21 (0.04) 0.28 0.53 (0.21) 0.01 1.00
UNG 0.18 0.16 0.19 0.18 0.13 0.03 0.15 0.32 0.03 (0.06) 0.21 1.00
UGA 0.31 0.30 0.32 0.32 0.33 0.10 0.36 0.54 (0.01) (0.16) 0.68 0.17 1.00
GLD 0.41 0.36 0.54 0.55 0.67 0.21 0.80 0.39 (0.11) 0.03 0.53 0.15 0.49 1.00
SLV 0.53 0.48 0.63 0.64 0.70 0.27 0.76 0.47 (0.05) 0.06 0.50 0.18 0.44 0.82 1.00
JJC 0.50 0.50 0.47 0.48 0.46 0.55 0.21 0.36 0.23 (0.18) 0.16 0.12 0.20 0.13 0.22 1.00
GSG 0.38 0.37 0.38 0.37 0.37 0.21 0.33 0.66 (0.05) (0.18) 0.86 0.30 0.82 0.49 0.47 0.38 1.00
TLH (0.44) (0.44) (0.41) (0.45) (0.42) (0.41) (0.36) (0.16) (0.30) 0.12 0.08 (0.06) 0.06 (0.03) (0.11) (0.35) (0.05) 1.00
S&P/TSX Sector & Commodity ETF Correlations (2)

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FXC UUP USO UNG UGA GLD SLV JJC GSG TLH
TSX Comp 1.00
Financials 0.64 1.00
RealEstate 0.58 0.49 1.00
Tech 0.52 0.62 0.42 1.00
Telecom 0.48 0.46 0.48 0.39 1.00
Health 0.34 0.46 (0.01) 0.28 0.24 1.00
ConDisc 0.64 0.60 0.51 0.41 0.51 0.43 1.00
ConStap 0.48 0.57 0.30 0.27 0.43 0.40 0.38 1.00
Uts 0.59 0.55 0.51 0.48 0.58 0.22 0.47 0.42 1.00
FXC 0.26 0.39 0.31 0.24 0.27 0.09 0.16 0.42 0.30 1.00
UUP (0.16) (0.09) (0.19) (0.09) (0.17) 0.09 (0.11) (0.10) (0.28) (0.43) 1.00
USO 0.19 (0.28) (0.07) (0.17) (0.06) (0.26) (0.12) (0.20) (0.12) (0.21) 0.01 1.00
UNG 0.18 0.01 0.15 (0.31) 0.14 0.02 0.08 0.01 0.10 0.03 (0.06) 0.21 1.00
UGA 0.31 (0.18) (0.05) 0.00 0.00 (0.02) 0.03 (0.04) 0.03 (0.01) (0.16) 0.68 0.17 1.00
GLD 0.41 (0.13) 0.03 (0.04) (0.11) (0.20) 0.04 0.07 0.04 (0.11) 0.03 0.53 0.15 0.49 1.00
SLV 0.53 0.01 0.17 0.00 (0.06) (0.10) 0.27 0.08 0.03 (0.05) 0.06 0.50 0.18 0.44 0.82 1.00
JJC 0.50 0.32 0.34 0.26 0.28 0.05 0.26 0.17 0.24 0.23 (0.18) 0.16 0.12 0.20 0.13 0.22 1.00
GSG 0.38 (0.17) 0.05 (0.05) 0.06 (0.14) 0.06 (0.09) 0.03 (0.05) (0.18) 0.86 0.30 0.82 0.49 0.47 0.38 1.00
TLH (0.44) (0.40) (0.28) (0.39) (0.30) (0.06) (0.35) (0.12) (0.28) (0.30) 0.12 0.08 (0.06) 0.06 (0.03) (0.11) (0.35) (0.05) 1.00
Note: Correlation of 3 Months of Daily Returns 2
Change in Correlations to TSX Comp From Dec. 31, 2010
0.40
0.30
0.20
0.10
-
Chg. in Correlation
(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

3
Change in Correlations to TSX Comp From Dec. 31, 2010
0.05
(0.05)
Chg. in Correlation
(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

4
Change in Correlations to TSX Comp From 1 Month Ago
0.30
0.20
0.10
Chg. in Correlation
(0.10)
(0.20)
(0.30)
(0.40)

5
Change in Correlations to TSX Comp From 1 Month Ago
0.20
0.15
0.10
Chg. in Correlation
0.05
(0.05)

6
Change in Correlations to TSX Comp From 6 Months Ago
0.50
0.40
0.30
0.20
0.10
Chg. in Correlation
(0.10)
(0.20)
(0.30)
(0.40)
(0.50)

7
Change in Correlations to TSX Comp From 6 Months Ago
-
(0.05)
(0.10)
(0.15)
Chg. in Correlation
(0.20)
(0.25)
(0.30)
(0.35)
(0.40)
(0.45)

8
Change in Correlations to TSX Comp From 1 Year Ago
0.40
0.30
0.20
0.10
-
Chg. in Correlation
(0.10)
(0.20)
(0.30)
(0.40)
(0.50)
(0.60)

9
Change in Correlations to TSX Comp From 1 Year Ago
0.05
(0.05)
(0.10)
(0.15)
Chg. in Correlation
(0.20)
(0.25)
(0.30)
(0.35)
(0.40)
(0.45)

10
Notes
TSX Comp S&P/TSX Composite SPY SPDR S&P 500
TSX 60 S&P/TSX 60 Capped QQQ PowerShares QQQ Trust, Series 1
TSX MidCap S&P/TSX MidCap EFA iShares MSCI EAFE
TSX SmallCap S&P/TSX SmallCap EEM iShares MSCI Emerging
Energy S&P/TSX Capped Energy EWA iShares MSCI Australia
Financials S&P/TSX Capped Financials EWJ iShares MSCI Japan
GlobalGold S&P/TSX Global Gold EWH iShares MSCI Hong Kong
Tech S&P/TSX Capped Information Tech FXI iShares FTSE China 25
ConsDisc S&P/TSX Capped Consumer Discretionary EWS iShares MSCI Singapore
ConsStap S&P/TSE Capped Consumer Staples EWY iShares MSCI South Korea
Health S&P/TSX Capped Health Care Inde EWT iShares MSCI Taiwan
EWZ iShares MSCI Brazil
Industrials S&P/TSX Capped Industrials
EWW iShares MSCI Mexico
DivMetals S&P/TSX Capped Diversified Metals
IEV iShares S&P Europe 350
Materials S&P/TSX Capped Materials
EWU iShares MSCI United Kingdom
RealEstate S&P/TSX Capped Real Estate
EWP iShares MSCI Spain
Telecom S&P/TSX Capped Telecommunicatio
EWI iShares MSCI Italy
Uts S&P/TSX Capped Utilities
EWG iShares MSCI Germany
EWQ iShares MSCI France
FXC Rydex CurrencyShares Canadian Dollar
UUP PowerShares DB USD Bullis
USO United States Oil
UNG United States Natural Gas
UGA United States Gasoline LP
GLD SPDR Gold Trust
SLV iShares Silver Trust
JJC iPath Dow Jones UBS Copper Tota
GSG iShares GSCI Commodity
TLH iShares Lehman 10-20 Year Treasuries
11

Canadian Market Correlations Apr 7-8 2011

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S&P/TSX Sector Correlations

Global Index Correlations

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

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

Note: Correlation of 3 Months of Daily Returns to S&P/TSX Composite

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