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 |
-0.09 |
0.04 |
0.39 |
-0.92 |
-0.22 |
0.40 |
0.12 |
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-2.23 |
6.39 |
CRISIL 1 Yr T-Bill |
AC2 |
-0.09 |
1.00 |
0.29 |
0.63 |
0.36 |
0.25 |
0.10 |
-0.28 |
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-0.03 |
1.55 |
Emerging Market |
AC3 |
0.04 |
0.29 |
1.00 |
0.15 |
0.01 |
0.11 |
0.11 |
-0.96 |
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-10.73 |
810.91 |
Equity India |
AC4 |
0.39 |
0.63 |
0.15 |
1.00 |
-0.22 |
0.03 |
0.23 |
0.06 |
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-6.46 |
35.91 |
Gilt 10 years |
AC5 |
-0.92 |
0.36 |
0.01 |
-0.22 |
1.00 |
0.08 |
-0.34 |
-0.16 |
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10.51 |
16.93 |
Gold |
AC6 |
-0.22 |
0.25 |
0.11 |
0.03 |
0.08 |
1.00 |
0.11 |
-0.07 |
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1.04 |
20.32 |
Silver |
AC7 |
0.40 |
0.10 |
0.11 |
0.23 |
-0.34 |
0.11 |
1.00 |
0.02 |
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-4.38 |
823.57 |
World Index |
AC8 |
0.12 |
-0.28 |
-0.96 |
0.06 |
-0.16 |
-0.07 |
0.02 |
1.00 |
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-9.70 |
799.71 |
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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. |
43.41% |
Portfolio Return |
-2.75% |
Start Date |
18 Feb 2022 |
End Date |
17 May 2022 |
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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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