SOURCE: Russell Investments

Russell Investments

October 14, 2010 11:09 ET

Russell Index Analysis: Correlation Between U.S. and Global ex-U.S. Markets Returning to Pre-2005 Levels

TACOMA, WA--(Marketwire - October 14, 2010) -  The correlation between the Russell 3000® Index and the Russell Global ex-U.S. Index appears to be returning to pre-2005 levels, as a 2-year correlation analysis reflects a moderately-positive correlation of 0.62. 

During mid-2002 to 2004, the Russell 3000 Index showed a very high correlation with the rest of the world, reflecting more than 0.70 degree of correlation and even touching 0.85 at its highest point in 2004. However, from mid-2004 to mid-2008 there was low correlation, falling to nearly 0.32 in mid-2007.

The Russell Global Index includes more than 10,000 securities in 61 countries and covers 98% of the investable global market. All securities in the benchmark are classified according to size, region, country and sector. Daily Returns for the main components are available here: