Investing in ETFs tracking markets in oil-rich countries has traditionally been a bet on oil. Higher oil prices-- goes the logic-- will drive gains in non-energy sectors of oil-rich economies. Recent political volatility in the Middle East raises questions about this correlation.The chart below shows the returns of two ETFs of countries rich in oil: the Market Vectors Gulf States ETF (NYSEArca:MES - News) and iShares MSCI Canada (NYSEArca:EWC - News). They are compared to the United States 12-Month Oil ETF (NYSEArca:USL - News), which holds futures contracts on crude. The time period shown in the chart is the one month following the beginning of the revolution in Egypt. The chart shows that the crude ETF USL, which attempts to track the price oil, moved higher as the revolution spread. The price of the Canadian ETF EWC is correlated. It followed higher oil prices as expected. But the Gulf States ETF MES moved in the opposite direction of oil prices, falling lower during this period.It is not hard to understand the divergence of Canadian and Gulf state holdings. Oil moved higher during this period on political risk. There was little supply disruption during the period covered in the chart. The Suez Canal remained open throughout the crisis in Egypt. Only Libya, which contributes about 2% to the worlds oil supply, saw significant supply disruption. But investors judged that the risk for future supply disruptions increased with political risk in the Middle East. By contrast, Canada's economy will see a benefit of higher oil prices without the negative of political risk. Also, Canada's currency is not negatively impacted by unrest in the Middle East.The majority of assets of EWC and MES are not in oil. Oil assets, particularly in the Middle East, tend to be state-owned infrastructure and unavailable for investment. A full 60% of MES is invested in the financial sector. Most of MES is invested in Kuwait. The UAE gets 20%. 15% are in Qatar (not in the top ten countries as measured by total reserves, but on par with Saudi Arabia for oil wealth in terms of size and population). The remaining 5% of asserts are in Oman and Bahrain. In terms of EWC, financial assets make up a third of its portfolio. Royal Bank of Canada (NYSE:RY - News) and Toronto Dominion Bank (NYSE:TD - News) are the two largest holdings. About 20% of EWC is in the industrial materials sector. Energy is about 25%.It may be easy to explain why returns of some oil rich countries have diverged. It is hard to ignore oil-rich economies that carry political risk. Countries with the largest proven oil reserves are Saudi Arabia, Canada, Iraq, Iran, Kuwait, Venezuela, United Arab Emirates, Russia, Libya and Nigeria, roughly in that order (depending on adjustments for discovery and extraction technologies).Over 50% of proven oil reserves are in the Middle East. 75% of reserves are in OPEC member countries (The Organization of Petroleum Exporting Countries). According to its website, OPEC represents over 55% of oil traded on the international markets.For investors who want a piece of the action, single country ETFs or regional ETFs in the Middle East remain good tools even if the financial and other assets held in the ETFs do not always follow the price of crude. Investors should take into account both oil prices and regional political risk when evaluating these ETFs.A list of key oil-rich countries ETFs and their expense ratios follows:iShares MSCI Canada (NYSEArca:EWC - News), 0.53%Market Vectors Russia ETF (NYSEArca:RSX - News), 0.69%Market Vectors Gulf States ETF (NYSEArca:MES - News), .98%WisdomTree Middle East Dividend (NasdaqGM:GULF - News), 0.88%PowerShares MENA Frontier Countries (NasdaqGM:PMNA - News), 0.70%Market Vectors Africa (NYSEArca:AFK - News), 0.83%Jonathan Bernstein has been writing about ETFs since 2003 and is the author of Sector Trading: A Year in Exchange Traded Funds.