Country Correlation Matrix |
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| The following table shows return correlations between various Country Indices over the past 2 Years. |
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|
C1 |
C2 |
C3 |
C4 |
C5 |
C6 |
C7 |
C8 |
C9 |
C10 |
C11 |
C12 |
C13 |
C14 |
C15 |
C16 |
C17 |
|
Return |
SD |
| BOVESPA (Brazil) |
C1 |
1.00 |
0.00 |
0.00 |
0.00 |
0.03 |
-0.00 |
-0.02 |
-0.04 |
0.04 |
0.01 |
-0.00 |
-0.01 |
0.00 |
0.05 |
0.00 |
-0.03 |
0.00 |
|
13.46 |
384.31 |
| CAC (France) |
C2 |
0.00 |
1.00 |
0.00 |
0.01 |
-0.01 |
-0.00 |
-0.03 |
0.06 |
0.00 |
-0.00 |
-0.10 |
-0.05 |
0.00 |
0.02 |
-0.00 |
0.03 |
0.00 |
|
3.55 |
288.92 |
| DAX (Germany) |
C3 |
0.00 |
0.00 |
1.00 |
0.01 |
0.04 |
0.01 |
0.06 |
0.03 |
0.09 |
0.03 |
0.00 |
0.04 |
0.00 |
0.07 |
0.00 |
-0.01 |
0.00 |
|
20.18 |
107.62 |
| DJIA (USA) |
C4 |
0.00 |
0.01 |
0.01 |
1.00 |
0.05 |
0.00 |
-0.07 |
0.07 |
0.03 |
0.00 |
0.00 |
-0.00 |
0.01 |
0.04 |
0.00 |
0.01 |
0.00 |
|
12.12 |
198.62 |
| FTSE 100 (UK) |
C5 |
0.03 |
-0.01 |
0.04 |
0.05 |
1.00 |
0.05 |
0.09 |
0.18 |
0.18 |
0.12 |
0.05 |
0.08 |
-0.03 |
0.25 |
0.01 |
0.06 |
0.03 |
|
6.34 |
13.08 |
| HANGSENG (HONGKONG) |
C6 |
-0.00 |
-0.00 |
0.01 |
0.00 |
0.05 |
1.00 |
-0.02 |
0.03 |
0.00 |
-0.02 |
0.94 |
0.04 |
-0.00 |
0.02 |
-0.00 |
0.08 |
0.99 |
|
6.16 |
265.83 |
| JAKARTA (Indonesia) |
C7 |
-0.02 |
-0.03 |
0.06 |
-0.07 |
0.09 |
-0.02 |
1.00 |
0.22 |
0.09 |
0.20 |
-0.01 |
0.01 |
0.02 |
0.21 |
0.01 |
-0.08 |
-0.03 |
|
-2.60 |
17.12 |
| KOSPI (S Korea) |
C8 |
-0.04 |
0.06 |
0.03 |
0.07 |
0.18 |
0.03 |
0.22 |
1.00 |
0.03 |
0.38 |
0.04 |
-0.03 |
0.01 |
0.51 |
-0.01 |
0.07 |
0.01 |
|
0.12 |
22.50 |
| NASDAQ (USA) |
C9 |
0.04 |
0.00 |
0.09 |
0.03 |
0.18 |
0.00 |
0.09 |
0.03 |
1.00 |
0.09 |
0.02 |
0.00 |
0.09 |
0.09 |
0.00 |
0.04 |
0.00 |
|
19.95 |
28.70 |
| NIFTY (India) |
C10 |
0.01 |
-0.00 |
0.03 |
0.00 |
0.12 |
-0.02 |
0.20 |
0.38 |
0.09 |
1.00 |
0.00 |
-0.06 |
0.03 |
0.35 |
-0.01 |
0.00 |
-0.02 |
|
15.60 |
14.64 |
| NIKEEI (Japan) |
C11 |
-0.00 |
-0.10 |
0.00 |
0.00 |
0.05 |
0.94 |
-0.01 |
0.04 |
0.02 |
0.00 |
1.00 |
0.03 |
0.01 |
0.03 |
-0.01 |
0.02 |
0.95 |
|
11.00 |
319.19 |
| RTSI (Russia) |
C12 |
-0.01 |
-0.05 |
0.04 |
-0.00 |
0.08 |
0.04 |
0.01 |
-0.03 |
0.00 |
-0.06 |
0.03 |
1.00 |
-0.02 |
-0.05 |
-0.00 |
0.06 |
0.03 |
|
5.78 |
46.56 |
| S&P 500 (USA) |
C13 |
0.00 |
0.00 |
0.00 |
0.01 |
-0.03 |
-0.00 |
0.02 |
0.01 |
0.09 |
0.03 |
0.01 |
-0.02 |
1.00 |
-0.00 |
0.00 |
-0.03 |
0.00 |
|
17.20 |
232.67 |
| S&P ASX 200 (Australia) |
C14 |
0.05 |
0.02 |
0.07 |
0.04 |
0.25 |
0.02 |
0.21 |
0.51 |
0.09 |
0.35 |
0.03 |
-0.05 |
-0.00 |
1.00 |
-0.06 |
0.08 |
0.01 |
|
4.22 |
14.29 |
| SENSEX (India) |
C15 |
0.00 |
-0.00 |
0.00 |
0.00 |
0.01 |
-0.00 |
0.01 |
-0.01 |
0.00 |
-0.01 |
-0.01 |
-0.00 |
0.00 |
-0.06 |
1.00 |
-0.02 |
-0.00 |
|
13.61 |
284.19 |
| SHANGHAI (China) |
C16 |
-0.03 |
0.03 |
-0.01 |
0.01 |
0.06 |
0.08 |
-0.08 |
0.07 |
0.04 |
0.00 |
0.02 |
0.06 |
-0.03 |
0.08 |
-0.02 |
1.00 |
0.03 |
|
0.44 |
20.74 |
| STRAIT TIMES (Singapore) |
C17 |
0.00 |
0.00 |
0.00 |
0.00 |
0.03 |
0.99 |
-0.03 |
0.01 |
0.00 |
-0.02 |
0.95 |
0.03 |
0.00 |
0.01 |
-0.00 |
0.03 |
1.00 |
|
9.61 |
294.84 |
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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. |
44.66% |
| Portfolio Return |
9.22% |
| Start Date |
04 Apr 2023 |
| End Date |
03 Apr 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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