| 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 |
|
Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
0.32 |
0.73 |
-0.16 |
-0.36 |
0.03 |
-0.14 |
0.78 |
|
0.01 |
13.70 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.32 |
1.00 |
0.72 |
0.17 |
0.34 |
-0.69 |
-0.52 |
0.82 |
|
0.94 |
0.45 |
| Emerging Market |
AC3 |
0.73 |
0.72 |
1.00 |
-0.36 |
-0.54 |
-0.21 |
-0.22 |
0.98 |
|
7.18 |
27.60 |
| Equity India |
AC4 |
-0.16 |
0.17 |
-0.36 |
1.00 |
0.36 |
-0.18 |
-0.10 |
-0.41 |
|
0.23 |
763.54 |
| Gilt 10 years |
AC5 |
-0.36 |
0.34 |
-0.54 |
0.36 |
1.00 |
-0.69 |
-0.25 |
-0.50 |
|
2.18 |
13.97 |
| Gold |
AC6 |
0.03 |
-0.69 |
-0.21 |
-0.18 |
-0.69 |
1.00 |
0.72 |
-0.34 |
|
-6.48 |
38.16 |
| Silver |
AC7 |
-0.14 |
-0.52 |
-0.22 |
-0.10 |
-0.25 |
0.72 |
1.00 |
-0.31 |
|
3.94 |
36.58 |
| World Index |
AC8 |
0.78 |
0.82 |
0.98 |
-0.41 |
-0.50 |
-0.34 |
-0.31 |
1.00 |
|
8.44 |
26.06 |
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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. |
43.75% |
| Portfolio Return |
2.05% |
| Start Date |
23 Jan 2021 |
| End Date |
22 Apr 2021 |
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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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