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Your Current Location : Correlation : Country Correlation
 

Country Correlation Matrix

Select Period 3M 6M 1y 2Y 3Y
 
The following table shows return correlations between various Country Indices over the past 3 Months.
 
C1 C2 C3 C4 C5 C6 C7 C8 C9 C10 C11 C12 C13 C14 C15 C16 C17 Return SD
BOVESPA (Brazil) C1 1.00 0.55 0.56 0.43 0.45 0.28 0.25 0.30 0.30 0.10 0.15 0.39 0.37 -0.01 0.12 0.11 0.23   26.88 37.39
CAC (France) C2 0.55 1.00 0.96 0.69 0.87 0.47 0.27 0.39 0.51 0.34 0.42 0.75 0.67 0.27 0.35 0.13 0.44   10.28 38.26
DAX (Germany) C3 0.56 0.96 1.00 0.70 0.85 0.47 0.29 0.41 0.56 0.30 0.46 0.75 0.69 0.32 0.31 0.13 0.47   19.58 40.43
DJIA (USA) C4 0.43 0.69 0.70 1.00 0.68 0.30 0.18 0.16 0.85 0.13 0.36 0.50 0.98 0.24 0.12 0.09 0.37   11.47 36.13
FTSE 100 (UK) C5 0.45 0.87 0.85 0.68 1.00 0.38 0.12 0.29 0.54 0.24 0.37 0.72 0.66 0.22 0.25 0.12 0.31   4.32 34.00
HANGSENG (HONGKONG) C6 0.28 0.47 0.47 0.30 0.38 1.00 0.33 0.68 0.24 0.51 0.48 0.36 0.31 0.35 0.52 0.63 0.71   6.05 29.76
JAKARTA (Indonesia) C7 0.25 0.27 0.29 0.18 0.12 0.33 1.00 0.50 0.09 0.34 0.47 0.30 0.18 0.35 0.35 0.34 0.56   9.52 22.66
KOSPI (S Korea) C8 0.30 0.39 0.41 0.16 0.29 0.68 0.50 1.00 0.05 0.46 0.66 0.34 0.17 0.50 0.46 0.47 0.65   19.73 23.41
NASDAQ (USA) C9 0.30 0.51 0.56 0.85 0.54 0.24 0.09 0.05 1.00 0.05 0.25 0.43 0.90 0.23 0.06 0.11 0.28   32.27 34.14
NIFTY (India) C10 0.10 0.34 0.30 0.13 0.24 0.51 0.34 0.46 0.05 1.00 0.38 0.24 0.14 0.17 1.00 0.31 0.45   20.11 31.53
NIKEEI (Japan) C11 0.15 0.42 0.46 0.36 0.37 0.48 0.47 0.66 0.25 0.38 1.00 0.38 0.39 0.74 0.37 0.43 0.57   19.64 26.74
RTSI (Russia) C12 0.39 0.75 0.75 0.50 0.72 0.36 0.30 0.34 0.43 0.24 0.38 1.00 0.52 0.29 0.25 0.11 0.32   10.72 44.98
S&P 500 (USA) C13 0.37 0.67 0.69 0.98 0.66 0.31 0.18 0.17 0.90 0.14 0.39 0.52 1.00 0.29 0.14 0.14 0.37   15.33 32.24
S&P ASX 200 (Australia) C14 -0.01 0.27 0.32 0.24 0.22 0.35 0.35 0.50 0.23 0.17 0.74 0.29 0.29 1.00 0.17 0.25 0.49   10.95 28.25
SENSEX (India) C15 0.12 0.35 0.31 0.12 0.25 0.52 0.35 0.46 0.06 1.00 0.37 0.25 0.14 0.17 1.00 0.30 0.45   19.56 32.01
SHANGHAI (China) C16 0.11 0.13 0.13 0.09 0.12 0.63 0.34 0.47 0.11 0.31 0.43 0.11 0.14 0.25 0.30 1.00 0.44   23.72 20.24
STRAIT TIMES (Singapore) C17 0.23 0.44 0.47 0.37 0.31 0.71 0.56 0.65 0.28 0.45 0.57 0.32 0.37 0.49 0.45 0.44 1.00   2.48 23.34
 
 

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.
28.81%
Portfolio Return 15.45%
Start Date 13 Apr 2020
End Date 13 Jul 2020
 
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
 
 
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