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 |
0.94 |
0.92 |
0.84 |
-0.36 |
0.73 |
0.15 |
0.93 |
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1.95 |
1.52 |
CRISIL 1 Yr T-Bill |
AC2 |
0.94 |
1.00 |
0.98 |
0.81 |
-0.05 |
0.87 |
0.21 |
0.98 |
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1.70 |
0.71 |
Emerging Market |
AC3 |
0.92 |
0.98 |
1.00 |
0.92 |
-0.64 |
-0.68 |
0.11 |
1.00 |
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4.60 |
18.36 |
Equity India |
AC4 |
0.84 |
0.81 |
0.92 |
1.00 |
-0.21 |
0.56 |
0.16 |
0.92 |
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1.72 |
13.69 |
Gilt 10 years |
AC5 |
-0.36 |
-0.05 |
-0.64 |
-0.21 |
1.00 |
0.31 |
0.06 |
-0.66 |
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0.13 |
6.98 |
Gold |
AC6 |
0.73 |
0.87 |
-0.68 |
0.56 |
0.31 |
1.00 |
0.18 |
-0.65 |
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17.76 |
16.17 |
Silver |
AC7 |
0.15 |
0.21 |
0.11 |
0.16 |
0.06 |
0.18 |
1.00 |
0.12 |
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17.34 |
1672.31 |
World Index |
AC8 |
0.93 |
0.98 |
1.00 |
0.92 |
-0.66 |
-0.65 |
0.12 |
1.00 |
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4.87 |
17.44 |
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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. |
28.99% |
Portfolio Return |
6.26% |
Start Date |
19 Jan 2024 |
End Date |
18 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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