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Asset Class Correlation Matrix

Select Period 3M 6M 1y 2Y 3Y
 
The following table shows return correlations between various Asset Classes over the past 2 Years.
 
AC1 AC2 AC3 AC4 AC5 AC6 AC7 AC8 Return SD
Corporate Bond AC1 1.00 0.99 -0.12 -0.06 -0.97 0.97 0.73 0.29   12.20 9.37
CRISIL 1 Yr T-Bill AC2 0.99 1.00 -0.12 -0.10 -0.95 0.96 0.70 0.27   6.98 1.02
Emerging Market AC3 -0.12 -0.12 1.00 0.51 0.15 -0.06 0.17 0.20   -20.81 109.97
Equity India AC4 -0.06 -0.10 0.51 1.00 0.14 -0.08 0.21 0.41   9.19 28.47
Gilt 10 years AC5 -0.97 -0.95 0.15 0.14 1.00 -0.92 -0.66 -0.25   -12.10 15.41
Gold AC6 0.97 0.96 -0.06 -0.08 -0.92 1.00 0.79 0.27   28.83 31.23
Silver AC7 0.73 0.70 0.17 0.21 -0.66 0.79 1.00 0.37   29.34 285.99
World Index AC8 0.29 0.27 0.20 0.41 -0.25 0.27 0.37 1.00   12.88 284.60
 
 

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.
37.79%
Portfolio Return 8.31%
Start Date 30 Nov 2018
End Date 30 Nov 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
 
 
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