| Your Current Location : Correlation : Asset Class Correlation |
| |
Asset Class Correlation Matrix |
|
| |
| The following table shows return correlations between various Asset Classes over the past 3 Months. |
| |
|
|
AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
|
Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
0.95 |
0.00 |
-0.14 |
-0.84 |
0.87 |
0.84 |
0.00 |
|
2.35 |
1.39 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.95 |
1.00 |
0.00 |
-0.40 |
-0.68 |
0.95 |
0.90 |
0.00 |
|
1.70 |
0.35 |
| Emerging Market |
AC3 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
|
1.50 |
0.00 |
| Equity India |
AC4 |
-0.14 |
-0.40 |
0.00 |
1.00 |
-0.18 |
-0.31 |
-0.23 |
0.00 |
|
-2.80 |
15.18 |
| Gilt 10 years |
AC5 |
-0.84 |
-0.68 |
0.00 |
-0.18 |
1.00 |
-0.70 |
-0.65 |
0.00 |
|
-4.05 |
8.52 |
| Gold |
AC6 |
0.87 |
0.95 |
0.00 |
-0.31 |
-0.70 |
1.00 |
0.95 |
0.00 |
|
16.60 |
13.75 |
| Silver |
AC7 |
0.84 |
0.90 |
0.00 |
-0.23 |
-0.65 |
0.95 |
1.00 |
0.00 |
|
10.49 |
27.17 |
| World Index |
AC8 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
|
2.37 |
0.00 |
|
| |
| |
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.
|
| |
Intra-Portfolio Diversification 
Diversification can be quantified as the intra-portfolio correlation. This indicate Percent of diversifiable risk eliminated. |
43.24% |
| Portfolio Return |
3.52% |
| Start Date |
03 Jan 2025 |
| End Date |
02 Apr 2025 |
|
| |
| Each cell represents the correlation between the two corresponding assets. |
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
