| 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 |
0.68 |
-0.09 |
0.71 |
-0.08 |
0.31 |
0.06 |
0.20 |
|
5.09 |
15.39 |
| CRISIL 1 Yr T-Bill |
AC2 |
0.68 |
1.00 |
-0.10 |
0.95 |
0.24 |
0.48 |
0.17 |
0.25 |
|
1.80 |
0.41 |
| Emerging Market |
AC3 |
-0.09 |
-0.10 |
1.00 |
-0.17 |
0.25 |
0.32 |
0.26 |
-0.11 |
|
-34.44 |
228.74 |
| Equity India |
AC4 |
0.71 |
0.95 |
-0.17 |
1.00 |
0.24 |
0.52 |
0.20 |
0.18 |
|
31.98 |
19.24 |
| Gilt 10 years |
AC5 |
-0.08 |
0.24 |
0.25 |
0.24 |
1.00 |
0.40 |
0.23 |
-0.10 |
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-2.63 |
12.13 |
| Gold |
AC6 |
0.31 |
0.48 |
0.32 |
0.52 |
0.40 |
1.00 |
0.28 |
0.10 |
|
8.20 |
50.73 |
| Silver |
AC7 |
0.06 |
0.17 |
0.26 |
0.20 |
0.23 |
0.28 |
1.00 |
0.11 |
|
18.91 |
562.40 |
| World Index |
AC8 |
0.20 |
0.25 |
-0.11 |
0.18 |
-0.10 |
0.10 |
0.11 |
1.00 |
|
20.21 |
425.76 |
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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. |
33.66% |
| Portfolio Return |
6.14% |
| Start Date |
01 Jun 2020 |
| End Date |
30 Nov 2020 |
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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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