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 3 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 |
0.03 |
0.02 |
0.01 |
0.03 |
-0.00 |
-0.01 |
-0.01 |
0.05 |
-0.00 |
0.00 |
0.00 |
0.00 |
0.01 |
0.01 |
-0.01 |
0.00 |
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1.26 |
306.87 |
CAC (France) |
C2 |
0.03 |
1.00 |
0.91 |
0.05 |
0.77 |
0.03 |
0.11 |
0.07 |
0.41 |
0.04 |
0.03 |
0.24 |
0.05 |
0.07 |
0.08 |
0.03 |
0.09 |
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9.00 |
20.60 |
DAX (Germany) |
C3 |
0.02 |
0.91 |
1.00 |
0.06 |
0.72 |
0.03 |
0.10 |
0.04 |
0.44 |
0.05 |
0.04 |
0.23 |
0.08 |
0.07 |
0.13 |
0.03 |
0.10 |
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5.88 |
21.16 |
DJIA (USA) |
C4 |
0.01 |
0.05 |
0.06 |
1.00 |
0.05 |
0.01 |
-0.05 |
0.04 |
0.09 |
0.00 |
0.00 |
0.01 |
0.01 |
0.00 |
0.00 |
-0.00 |
0.00 |
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4.18 |
159.17 |
FTSE 100 (UK) |
C5 |
0.03 |
0.77 |
0.72 |
0.05 |
1.00 |
0.01 |
0.11 |
0.05 |
0.23 |
-0.00 |
0.04 |
0.25 |
0.02 |
0.08 |
0.09 |
0.02 |
0.07 |
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5.05 |
16.87 |
HANGSENG (HONGKONG) |
C6 |
-0.00 |
0.03 |
0.03 |
0.01 |
0.01 |
1.00 |
-0.01 |
0.04 |
0.02 |
0.01 |
0.67 |
0.00 |
-0.00 |
-0.01 |
0.00 |
0.01 |
0.64 |
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-16.05 |
317.24 |
JAKARTA (Indonesia) |
C7 |
-0.01 |
0.11 |
0.10 |
-0.05 |
0.11 |
-0.01 |
1.00 |
0.24 |
0.06 |
0.09 |
-0.00 |
0.15 |
-0.01 |
-0.06 |
0.01 |
0.03 |
-0.02 |
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5.99 |
14.92 |
KOSPI (S Korea) |
C8 |
-0.01 |
0.07 |
0.04 |
0.04 |
0.05 |
0.04 |
0.24 |
1.00 |
-0.03 |
0.06 |
0.02 |
0.09 |
-0.01 |
0.01 |
-0.00 |
0.04 |
0.01 |
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-5.65 |
36.31 |
NASDAQ (USA) |
C9 |
0.05 |
0.41 |
0.44 |
0.09 |
0.23 |
0.02 |
0.06 |
-0.03 |
1.00 |
0.01 |
0.00 |
0.03 |
0.11 |
0.02 |
0.06 |
-0.01 |
0.02 |
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4.03 |
28.73 |
NIFTY (India) |
C10 |
-0.00 |
0.04 |
0.05 |
0.00 |
-0.00 |
0.01 |
0.09 |
0.06 |
0.01 |
1.00 |
0.01 |
0.01 |
0.00 |
0.01 |
0.02 |
-0.00 |
0.00 |
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16.02 |
198.03 |
NIKEEI (Japan) |
C11 |
0.00 |
0.03 |
0.04 |
0.00 |
0.04 |
0.67 |
-0.00 |
0.02 |
0.00 |
0.01 |
1.00 |
0.03 |
0.00 |
0.00 |
-0.00 |
0.00 |
0.93 |
|
9.84 |
249.53 |
RTSI (Russia) |
C12 |
0.00 |
0.24 |
0.23 |
0.01 |
0.25 |
0.00 |
0.15 |
0.09 |
0.03 |
0.01 |
0.03 |
1.00 |
-0.01 |
0.00 |
0.02 |
-0.06 |
0.02 |
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-8.28 |
59.78 |
S&P 500 (USA) |
C13 |
0.00 |
0.05 |
0.08 |
0.01 |
0.02 |
-0.00 |
-0.01 |
-0.01 |
0.11 |
0.00 |
0.00 |
-0.01 |
1.00 |
0.00 |
0.39 |
-0.00 |
0.00 |
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6.64 |
293.48 |
S&P ASX 200 (Australia) |
C14 |
0.01 |
0.07 |
0.07 |
0.00 |
0.08 |
-0.01 |
-0.06 |
0.01 |
0.02 |
0.01 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
-0.00 |
-0.00 |
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2.85 |
469.24 |
SENSEX (India) |
C15 |
0.01 |
0.08 |
0.13 |
0.00 |
0.09 |
0.00 |
0.01 |
-0.00 |
0.06 |
0.02 |
-0.00 |
0.02 |
0.39 |
0.00 |
1.00 |
-0.00 |
-0.00 |
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15.54 |
244.17 |
SHANGHAI (China) |
C16 |
-0.01 |
0.03 |
0.03 |
-0.00 |
0.02 |
0.01 |
0.03 |
0.04 |
-0.01 |
-0.00 |
0.00 |
-0.06 |
-0.00 |
-0.00 |
-0.00 |
1.00 |
0.00 |
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-4.30 |
283.52 |
STRAIT TIMES (Singapore) |
C17 |
0.00 |
0.09 |
0.10 |
0.00 |
0.07 |
0.64 |
-0.02 |
0.01 |
0.02 |
0.00 |
0.93 |
0.02 |
0.00 |
-0.00 |
-0.00 |
0.00 |
1.00 |
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1.04 |
253.33 |
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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. |
43.61% |
Portfolio Return |
3.12% |
Start Date |
23 Apr 2021 |
End Date |
24 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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