Your Current Location : Correlation : Asset Class Correlation |
|
Asset Class Correlation Matrix |
|
|
The following table shows return correlations between various Asset Classes over the past 6 Months. |
|
|
|
AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
|
Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.98 |
0.88 |
0.89 |
-0.82 |
0.71 |
-0.01 |
0.88 |
|
4.33 |
1.40 |
CRISIL 1 Yr T-Bill |
AC2 |
0.98 |
1.00 |
0.71 |
0.89 |
-0.70 |
0.81 |
0.03 |
0.71 |
|
3.62 |
0.61 |
Emerging Market |
AC3 |
0.88 |
0.71 |
1.00 |
0.77 |
-0.32 |
0.34 |
0.06 |
1.00 |
|
11.31 |
31.03 |
Equity India |
AC4 |
0.89 |
0.89 |
0.77 |
1.00 |
-0.79 |
0.60 |
-0.00 |
0.75 |
|
17.70 |
13.24 |
Gilt 10 years |
AC5 |
-0.82 |
-0.70 |
-0.32 |
-0.79 |
1.00 |
-0.24 |
0.11 |
-0.34 |
|
-1.90 |
6.27 |
Gold |
AC6 |
0.71 |
0.81 |
0.34 |
0.60 |
-0.24 |
1.00 |
0.13 |
0.33 |
|
18.73 |
14.96 |
Silver |
AC7 |
-0.01 |
0.03 |
0.06 |
-0.00 |
0.11 |
0.13 |
1.00 |
0.06 |
|
14.30 |
1141.84 |
World Index |
AC8 |
0.88 |
0.71 |
1.00 |
0.75 |
-0.34 |
0.33 |
0.06 |
1.00 |
|
12.59 |
35.18 |
|
|
|
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. |
30.61% |
Portfolio Return |
10.08% |
Start Date |
27 Oct 2023 |
End Date |
26 Apr 2024 |
|
|
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 |
|
|
|
|
|
|
|
|
|