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 2 Years. |
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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 |
0.84 |
0.71 |
-0.68 |
0.93 |
0.31 |
0.87 |
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6.35 |
8.39 |
CRISIL 1 Yr T-Bill |
AC2 |
0.99 |
1.00 |
0.85 |
0.71 |
-0.62 |
0.93 |
0.31 |
0.88 |
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6.01 |
0.72 |
Emerging Market |
AC3 |
0.84 |
0.85 |
1.00 |
0.85 |
-0.59 |
0.82 |
-0.00 |
0.98 |
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-48.60 |
316.06 |
Equity India |
AC4 |
0.71 |
0.71 |
0.85 |
1.00 |
-0.45 |
0.64 |
0.21 |
0.89 |
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14.79 |
242.16 |
Gilt 10 years |
AC5 |
-0.68 |
-0.62 |
-0.59 |
-0.45 |
1.00 |
-0.62 |
-0.21 |
-0.60 |
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0.91 |
10.67 |
Gold |
AC6 |
0.93 |
0.93 |
0.82 |
0.64 |
-0.62 |
1.00 |
0.36 |
0.83 |
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17.87 |
13.48 |
Silver |
AC7 |
0.31 |
0.31 |
-0.00 |
0.21 |
-0.21 |
0.36 |
1.00 |
-0.01 |
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11.08 |
629.12 |
World Index |
AC8 |
0.87 |
0.88 |
0.98 |
0.89 |
-0.60 |
0.83 |
-0.01 |
1.00 |
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123.08 |
306.93 |
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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. |
27.92% |
Portfolio Return |
16.44% |
Start Date |
26 Apr 2022 |
End Date |
25 Apr 2024 |
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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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