Global Correlations

I downloaded MSCI regional monthly returns for North America, Europe, BRIC countries, Asia, and Latin America from January 2001 to October 2017.   Figure 1 displays statistics for the five regions over 202 months. Figure 1 N_AMERICA EUROPE BRIC ASIA EM_LATIN_AMERICA  Mean 0.439 0.355 0.827 0.417 0.825  Median 1.089 0.529 1.250 0.976 1.341  Maximum 11.624 13.053…