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 6 Months. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.97 |
0.94 |
0.92 |
-0.91 |
0.73 |
-0.10 |
0.96 |
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4.01 |
1.34 |
CRISIL 1 Yr T-Bill |
AC2 |
0.97 |
1.00 |
0.97 |
0.92 |
-0.82 |
0.83 |
-0.08 |
0.99 |
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3.51 |
0.61 |
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 |
0.92 |
0.92 |
0.76 |
1.00 |
-0.84 |
0.74 |
-0.07 |
0.74 |
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9.52 |
13.57 |
Gilt 10 years |
AC5 |
-0.91 |
-0.82 |
-0.73 |
-0.84 |
1.00 |
-0.58 |
0.11 |
-0.74 |
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-0.97 |
7.32 |
Gold |
AC6 |
0.73 |
0.83 |
-0.34 |
0.74 |
-0.58 |
1.00 |
-0.00 |
-0.28 |
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10.02 |
12.59 |
Silver |
AC7 |
-0.10 |
-0.08 |
-0.01 |
-0.07 |
0.11 |
-0.00 |
1.00 |
-0.01 |
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2.53 |
1132.32 |
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. |
34.30% |
Portfolio Return |
6.51% |
Start Date |
19 Sep 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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