| Your Current Location : Correlation : Asset Class Correlation |
| |
Asset Class Correlation Matrix |
|
| |
| The following table shows return correlations between various Asset Classes over the past 6 Months. |
| |
|
|
AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
|
Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
0.77 |
0.55 |
0.80 |
-0.70 |
0.80 |
0.56 |
0.33 |
|
8.05 |
18.07 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.77 |
1.00 |
0.66 |
0.93 |
-0.59 |
0.92 |
0.66 |
0.37 |
|
3.47 |
1.39 |
| Emerging Market |
AC3 |
0.55 |
0.66 |
1.00 |
0.80 |
-0.24 |
0.67 |
0.67 |
0.22 |
|
29.44 |
176.96 |
| Equity India |
AC4 |
0.80 |
0.93 |
0.80 |
1.00 |
-0.50 |
0.89 |
0.67 |
0.33 |
|
29.90 |
34.68 |
| Gilt 10 years |
AC5 |
-0.70 |
-0.59 |
-0.24 |
-0.50 |
1.00 |
-0.55 |
-0.38 |
-0.34 |
|
-5.07 |
16.59 |
| Gold |
AC6 |
0.80 |
0.92 |
0.67 |
0.89 |
-0.55 |
1.00 |
0.69 |
0.34 |
|
26.49 |
31.56 |
| Silver |
AC7 |
0.56 |
0.66 |
0.67 |
0.67 |
-0.38 |
0.69 |
1.00 |
0.33 |
|
54.59 |
565.18 |
| World Index |
AC8 |
0.33 |
0.37 |
0.22 |
0.33 |
-0.34 |
0.34 |
0.33 |
1.00 |
|
31.20 |
413.76 |
|
| |
| |
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.
|
| |
Intra-Portfolio Diversification 
Diversification can be quantified as the intra-portfolio correlation. This indicate Percent of diversifiable risk eliminated. |
28.66% |
| Portfolio Return |
22.26% |
| Start Date |
25 Mar 2020 |
| End Date |
24 Sep 2020 |
|
| |
| Each cell represents the correlation between the two corresponding assets. |
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
