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 |
0.97 |
0.82 |
-0.62 |
0.50 |
0.95 |
0.86 |
0.77 |
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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 |
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1.84 |
0.48 |
Emerging Market |
AC3 |
0.82 |
0.76 |
1.00 |
-0.69 |
-0.45 |
0.71 |
0.46 |
1.00 |
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13.03 |
38.07 |
Equity India |
AC4 |
-0.62 |
-0.73 |
-0.69 |
1.00 |
-0.67 |
-0.74 |
-0.58 |
-0.66 |
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-1.57 |
13.68 |
Gilt 10 years |
AC5 |
0.50 |
0.62 |
-0.45 |
-0.67 |
1.00 |
0.60 |
0.51 |
-0.47 |
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-1.34 |
10.88 |
Gold |
AC6 |
0.95 |
0.98 |
0.71 |
-0.74 |
0.60 |
1.00 |
0.86 |
0.65 |
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11.68 |
10.82 |
Silver |
AC7 |
0.86 |
0.88 |
0.46 |
-0.58 |
0.51 |
0.86 |
1.00 |
0.39 |
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9.80 |
24.58 |
World Index |
AC8 |
0.77 |
0.71 |
1.00 |
-0.66 |
-0.47 |
0.65 |
0.39 |
1.00 |
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12.50 |
41.00 |
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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. |
30.66% |
Portfolio Return |
6.03% |
Start Date |
09 Nov 2022 |
End Date |
08 Feb 2023 |
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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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