| Your Current Location : Correlation : Asset Class Correlation |
| |
Asset Class Correlation Matrix |
|
| |
| The following table shows return correlations between various Asset Classes over the past 3 Months. |
| |
|
|
AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
|
Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
0.97 |
0.82 |
-0.62 |
0.50 |
0.95 |
0.86 |
0.77 |
|
2.26 |
1.54 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.97 |
1.00 |
0.76 |
-0.73 |
0.62 |
0.98 |
0.88 |
0.71 |
|
1.84 |
0.48 |
| Emerging Market |
AC3 |
0.82 |
0.76 |
1.00 |
-0.69 |
-0.45 |
0.71 |
0.46 |
1.00 |
|
13.03 |
38.07 |
| Equity India |
AC4 |
-0.62 |
-0.73 |
-0.69 |
1.00 |
-0.67 |
-0.74 |
-0.58 |
-0.66 |
|
-1.57 |
13.68 |
| Gilt 10 years |
AC5 |
0.50 |
0.62 |
-0.45 |
-0.67 |
1.00 |
0.60 |
0.51 |
-0.47 |
|
-1.34 |
10.88 |
| Gold |
AC6 |
0.95 |
0.98 |
0.71 |
-0.74 |
0.60 |
1.00 |
0.86 |
0.65 |
|
11.68 |
10.82 |
| Silver |
AC7 |
0.86 |
0.88 |
0.46 |
-0.58 |
0.51 |
0.86 |
1.00 |
0.39 |
|
9.80 |
24.58 |
| World Index |
AC8 |
0.77 |
0.71 |
1.00 |
-0.66 |
-0.47 |
0.65 |
0.39 |
1.00 |
|
12.50 |
41.00 |
|
| |
| |
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.
|
| |
Intra-Portfolio Diversification 
Diversification can be quantified as the intra-portfolio correlation. This indicate Percent of diversifiable risk eliminated. |
30.66% |
| Portfolio Return |
6.03% |
| Start Date |
09 Nov 2022 |
| End Date |
08 Feb 2023 |
|
| |
| Each cell represents the correlation between the two corresponding assets. |
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
