| 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 |
0.29 |
0.37 |
0.47 |
0.13 |
-0.02 |
-0.19 |
0.39 |
|
0.73 |
1.51 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.29 |
1.00 |
0.62 |
0.49 |
0.54 |
-0.16 |
-0.35 |
0.62 |
|
0.97 |
10.90 |
| Emerging Market |
AC3 |
0.37 |
0.62 |
1.00 |
0.87 |
0.75 |
-0.50 |
-0.54 |
0.97 |
|
3.02 |
16.65 |
| Equity India |
AC4 |
0.47 |
0.49 |
0.87 |
1.00 |
0.61 |
-0.62 |
-0.60 |
0.81 |
|
10.66 |
12.13 |
| Gilt 10 years |
AC5 |
0.13 |
0.54 |
0.75 |
0.61 |
1.00 |
-0.42 |
-0.70 |
0.84 |
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3.85 |
8.26 |
| Gold |
AC6 |
-0.02 |
-0.16 |
-0.50 |
-0.62 |
-0.42 |
1.00 |
0.80 |
-0.49 |
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-1.58 |
19.05 |
| Silver |
AC7 |
-0.19 |
-0.35 |
-0.54 |
-0.60 |
-0.70 |
0.80 |
1.00 |
-0.64 |
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-3.61 |
25.23 |
| World Index |
AC8 |
0.39 |
0.62 |
0.97 |
0.81 |
0.84 |
-0.49 |
-0.64 |
1.00 |
|
4.23 |
18.46 |
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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. |
36.92% |
| Portfolio Return |
2.28% |
| Start Date |
06 May 2021 |
| End Date |
05 Aug 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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