Your Current Location : Correlation : Asset Class Correlation |
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Asset Class Correlation Matrix |
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The following table shows return correlations between various Asset Classes over the past 1 Year. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.97 |
0.96 |
0.95 |
-0.22 |
0.84 |
-0.02 |
0.97 |
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5.39 |
1.39 |
CRISIL 1 Yr T-Bill |
AC2 |
0.97 |
1.00 |
0.93 |
0.93 |
-0.03 |
0.84 |
-0.01 |
0.94 |
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6.28 |
0.62 |
Emerging Market |
AC3 |
0.96 |
0.93 |
1.00 |
0.93 |
0.34 |
0.59 |
-0.03 |
1.00 |
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16.95 |
30.95 |
Equity India |
AC4 |
0.95 |
0.93 |
0.93 |
1.00 |
-0.31 |
0.81 |
0.07 |
0.94 |
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21.56 |
12.85 |
Gilt 10 years |
AC5 |
-0.22 |
-0.03 |
0.34 |
-0.31 |
1.00 |
-0.24 |
0.01 |
0.35 |
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-0.14 |
7.06 |
Gold |
AC6 |
0.84 |
0.84 |
0.59 |
0.81 |
-0.24 |
1.00 |
0.18 |
0.58 |
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19.84 |
13.22 |
Silver |
AC7 |
-0.02 |
-0.01 |
-0.03 |
0.07 |
0.01 |
0.18 |
1.00 |
-0.03 |
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27.30 |
800.91 |
World Index |
AC8 |
0.97 |
0.94 |
1.00 |
0.94 |
0.35 |
0.58 |
-0.03 |
1.00 |
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17.99 |
33.75 |
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Note :
- Returns upto 1 year are absolute and over 1 year are compounded and annualised.
- Standard Deviations are calculated on daily return basis for the given period and are annualised.
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Intra-Portfolio Diversification
Diversification can be quantified as the intra-portfolio correlation. This indicate Percent of diversifiable risk eliminated. |
23.08% |
Portfolio Return |
14.40% |
Start Date |
02 Jun 2023 |
End Date |
31 May 2024 |
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Each cell represents the correlation between the two corresponding assets. |
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Cell Color |
Description |
Diversification Benefit |
-1.00 to -0.40 |
Asset pair with negative correlation |
Excellent Diversification |
-0.40 to 0.00 |
Asset pair with slight negative correlation |
Good Diversification |
0.00 to 0.60 |
Asset pair with mild positive correlation |
Moderate Diversification |
0.60 to 1.00 |
Asset pair with strong positive correlation |
Poor Diversification |
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