New Zealand has a large trade deficit since it relies heavily on imports for its basic goods. Additionally, the country also has a heavy emphasis on its telecom sector.

Norway, though, has no debt and enjoys a budget surplus. The country is leveraged to the energy market, so short-term volatility in crude oil could affect its market.

Moreover, most emerging market and international single-country ETFs have a heavy emphasis on the financials sector. When holding onto these ETFs, an investors should be wary of becoming overexposed to a single sector.

For more information country-specific ETFs, visit our global ETFs category.

Max Chen contributed to this article.