| 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 |
0.99 |
0.72 |
0.85 |
-0.97 |
0.81 |
0.70 |
0.76 |
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3.38 |
1.65 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.99 |
1.00 |
0.77 |
0.83 |
-0.94 |
0.84 |
0.75 |
0.80 |
|
2.03 |
0.75 |
| Emerging Market |
AC3 |
0.72 |
0.77 |
1.00 |
0.85 |
-0.62 |
0.63 |
0.68 |
0.98 |
|
3.52 |
32.40 |
| Equity India |
AC4 |
0.85 |
0.83 |
0.85 |
1.00 |
-0.86 |
0.58 |
0.55 |
0.89 |
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6.90 |
12.56 |
| Gilt 10 years |
AC5 |
-0.97 |
-0.94 |
-0.62 |
-0.86 |
1.00 |
-0.73 |
-0.63 |
-0.68 |
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-5.77 |
13.15 |
| Gold |
AC6 |
0.81 |
0.84 |
0.63 |
0.58 |
-0.73 |
1.00 |
0.94 |
0.64 |
|
7.88 |
16.54 |
| Silver |
AC7 |
0.70 |
0.75 |
0.68 |
0.55 |
-0.63 |
0.94 |
1.00 |
0.67 |
|
11.47 |
28.68 |
| World Index |
AC8 |
0.76 |
0.80 |
0.98 |
0.89 |
-0.68 |
0.64 |
0.67 |
1.00 |
|
3.76 |
34.26 |
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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. |
26.90% |
| Portfolio Return |
4.15% |
| Start Date |
28 Feb 2023 |
| End Date |
26 May 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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