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 3 Months. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.98 |
0.94 |
0.79 |
-0.94 |
0.37 |
-0.07 |
0.96 |
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2.44 |
1.33 |
CRISIL 1 Yr T-Bill |
AC2 |
0.98 |
1.00 |
0.97 |
0.80 |
-0.90 |
0.42 |
-0.02 |
0.99 |
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1.68 |
0.50 |
Emerging Market |
AC3 |
0.94 |
0.97 |
1.00 |
0.76 |
-0.73 |
-0.34 |
-0.01 |
1.00 |
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11.01 |
33.05 |
Equity India |
AC4 |
0.79 |
0.80 |
0.76 |
1.00 |
-0.77 |
0.41 |
0.02 |
0.74 |
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2.78 |
14.46 |
Gilt 10 years |
AC5 |
-0.94 |
-0.90 |
-0.73 |
-0.77 |
1.00 |
-0.29 |
0.10 |
-0.74 |
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-1.25 |
5.93 |
Gold |
AC6 |
0.37 |
0.42 |
-0.34 |
0.41 |
-0.29 |
1.00 |
0.07 |
-0.28 |
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5.14 |
10.21 |
Silver |
AC7 |
-0.07 |
-0.02 |
-0.01 |
0.02 |
0.10 |
0.07 |
1.00 |
-0.01 |
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0.37 |
1601.06 |
World Index |
AC8 |
0.96 |
0.99 |
1.00 |
0.74 |
-0.74 |
-0.28 |
-0.01 |
1.00 |
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12.43 |
37.97 |
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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. |
35.61% |
Portfolio Return |
4.32% |
Start Date |
19 Dec 2023 |
End Date |
18 Mar 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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