Your Current Location : Correlation : Country Correlation |
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Country Correlation Matrix |
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The following table shows return correlations between various Country Indices over the past 6 Months. |
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C1 |
C2 |
C3 |
C4 |
C5 |
C6 |
C7 |
C8 |
C9 |
C10 |
C11 |
C12 |
C13 |
C14 |
C15 |
C16 |
C17 |
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Return |
SD |
BOVESPA (Brazil) |
C1 |
1.00 |
0.24 |
0.26 |
0.49 |
0.21 |
0.14 |
-0.11 |
-0.04 |
0.42 |
-0.05 |
-0.05 |
0.12 |
0.47 |
-0.04 |
-0.00 |
0.11 |
-0.00 |
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9.41 |
22.07 |
CAC (France) |
C2 |
0.24 |
1.00 |
0.88 |
0.21 |
0.82 |
0.30 |
0.19 |
0.24 |
0.18 |
0.21 |
0.27 |
0.35 |
0.21 |
0.29 |
0.01 |
0.26 |
0.23 |
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7.11 |
24.13 |
DAX (Germany) |
C3 |
0.26 |
0.88 |
1.00 |
0.29 |
0.82 |
0.28 |
0.16 |
0.16 |
0.23 |
0.19 |
0.25 |
0.24 |
0.26 |
0.28 |
0.01 |
0.25 |
0.18 |
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20.38 |
27.38 |
DJIA (USA) |
C4 |
0.49 |
0.21 |
0.29 |
1.00 |
0.22 |
0.21 |
-0.23 |
-0.04 |
0.87 |
-0.02 |
-0.00 |
-0.03 |
0.95 |
0.02 |
-0.00 |
0.22 |
-0.06 |
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-5.60 |
26.43 |
FTSE 100 (UK) |
C5 |
0.21 |
0.82 |
0.82 |
0.22 |
1.00 |
0.17 |
0.12 |
0.11 |
0.10 |
0.19 |
0.16 |
0.26 |
0.17 |
0.19 |
0.01 |
0.12 |
0.11 |
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5.52 |
21.12 |
HANGSENG (HONGKONG) |
C6 |
0.14 |
0.30 |
0.28 |
0.21 |
0.17 |
1.00 |
0.02 |
0.46 |
0.22 |
0.49 |
0.49 |
0.18 |
0.23 |
0.51 |
0.01 |
0.81 |
0.41 |
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18.45 |
39.18 |
JAKARTA (Indonesia) |
C7 |
-0.11 |
0.19 |
0.16 |
-0.23 |
0.12 |
0.02 |
1.00 |
0.17 |
-0.19 |
0.06 |
0.18 |
0.00 |
-0.21 |
0.17 |
0.00 |
-0.10 |
0.11 |
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-0.12 |
30.60 |
KOSPI (S Korea) |
C8 |
-0.04 |
0.24 |
0.16 |
-0.04 |
0.11 |
0.46 |
0.17 |
1.00 |
0.02 |
0.53 |
0.75 |
0.09 |
-0.02 |
0.68 |
-0.02 |
0.42 |
0.73 |
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9.96 |
32.14 |
NASDAQ (USA) |
C9 |
0.42 |
0.18 |
0.23 |
0.87 |
0.10 |
0.22 |
-0.19 |
0.02 |
1.00 |
0.08 |
0.05 |
-0.05 |
0.97 |
0.06 |
0.00 |
0.20 |
-0.01 |
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-1.49 |
39.66 |
NIFTY (India) |
C10 |
-0.05 |
0.21 |
0.19 |
-0.02 |
0.19 |
0.49 |
0.06 |
0.53 |
0.08 |
1.00 |
0.59 |
0.09 |
0.04 |
0.57 |
-0.04 |
0.41 |
0.66 |
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1.82 |
22.41 |
NIKEEI (Japan) |
C11 |
-0.05 |
0.27 |
0.25 |
-0.00 |
0.16 |
0.49 |
0.18 |
0.75 |
0.05 |
0.59 |
1.00 |
0.05 |
0.02 |
0.87 |
-0.10 |
0.44 |
0.79 |
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-2.70 |
48.80 |
RTSI (Russia) |
C12 |
0.12 |
0.35 |
0.24 |
-0.03 |
0.26 |
0.18 |
0.00 |
0.09 |
-0.05 |
0.09 |
0.05 |
1.00 |
-0.04 |
0.00 |
0.00 |
0.18 |
0.08 |
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49.08 |
51.02 |
S&P 500 (USA) |
C13 |
0.47 |
0.21 |
0.26 |
0.95 |
0.17 |
0.23 |
-0.21 |
-0.02 |
0.97 |
0.04 |
0.02 |
-0.04 |
1.00 |
0.04 |
0.00 |
0.21 |
-0.05 |
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-2.24 |
30.91 |
S&P ASX 200 (Australia) |
C14 |
-0.04 |
0.29 |
0.28 |
0.02 |
0.19 |
0.51 |
0.17 |
0.68 |
0.06 |
0.57 |
0.87 |
0.00 |
0.04 |
1.00 |
-0.07 |
0.49 |
0.78 |
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-0.40 |
25.40 |
SENSEX (India) |
C15 |
-0.00 |
0.01 |
0.01 |
-0.00 |
0.01 |
0.01 |
0.00 |
-0.02 |
0.00 |
-0.04 |
-0.10 |
0.00 |
0.00 |
-0.07 |
1.00 |
-0.03 |
-0.03 |
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1.40 |
569.79 |
SHANGHAI (China) |
C16 |
0.11 |
0.26 |
0.25 |
0.22 |
0.12 |
0.81 |
-0.10 |
0.42 |
0.20 |
0.41 |
0.44 |
0.18 |
0.21 |
0.49 |
-0.03 |
1.00 |
0.39 |
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-0.49 |
20.25 |
STRAIT TIMES (Singapore) |
C17 |
-0.00 |
0.23 |
0.18 |
-0.06 |
0.11 |
0.41 |
0.11 |
0.73 |
-0.01 |
0.66 |
0.79 |
0.08 |
-0.05 |
0.78 |
-0.03 |
0.39 |
1.00 |
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3.71 |
39.09 |
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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. |
37.00% |
Portfolio Return |
6.69% |
Start Date |
02 Dec 2024 |
End Date |
02 Jun 2025 |
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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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