| 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 3 Months. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
-0.24 |
-0.09 |
-0.09 |
-0.25 |
-0.08 |
-0.04 |
0.05 |
|
0.96 |
21.69 |
| CRISIL 1 Yr T-Bill |
AC2 |
-0.24 |
1.00 |
0.67 |
0.74 |
0.77 |
0.59 |
0.66 |
0.04 |
|
0.70 |
0.40 |
| Emerging Market |
AC3 |
-0.09 |
0.67 |
1.00 |
0.88 |
0.56 |
0.63 |
0.78 |
-0.12 |
|
7.51 |
22.76 |
| Equity India |
AC4 |
-0.09 |
0.74 |
0.88 |
1.00 |
0.67 |
0.64 |
0.85 |
-0.12 |
|
9.17 |
18.73 |
| Gilt 10 years |
AC5 |
-0.25 |
0.77 |
0.56 |
0.67 |
1.00 |
0.43 |
0.55 |
-0.12 |
|
2.54 |
12.65 |
| Gold |
AC6 |
-0.08 |
0.59 |
0.63 |
0.64 |
0.43 |
1.00 |
0.89 |
0.07 |
|
5.60 |
22.36 |
| Silver |
AC7 |
-0.04 |
0.66 |
0.78 |
0.85 |
0.55 |
0.89 |
1.00 |
0.04 |
|
28.83 |
68.62 |
| World Index |
AC8 |
0.05 |
0.04 |
-0.12 |
-0.12 |
-0.12 |
0.07 |
0.04 |
1.00 |
|
7.47 |
583.89 |
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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. |
29.07% |
| Portfolio Return |
7.85% |
| Start Date |
30 Jun 2020 |
| End Date |
30 Sep 2020 |
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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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