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 2 Years. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.99 |
0.21 |
0.67 |
-0.50 |
0.93 |
0.27 |
0.39 |
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5.91 |
8.42 |
CRISIL 1 Yr T-Bill |
AC2 |
0.99 |
1.00 |
0.19 |
0.67 |
-0.41 |
0.93 |
0.26 |
0.39 |
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5.81 |
0.80 |
Emerging Market |
AC3 |
0.21 |
0.19 |
1.00 |
0.26 |
-0.36 |
0.21 |
0.00 |
-0.62 |
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3.96 |
430.09 |
Equity India |
AC4 |
0.67 |
0.67 |
0.26 |
1.00 |
-0.34 |
0.60 |
0.17 |
0.41 |
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12.89 |
242.36 |
Gilt 10 years |
AC5 |
-0.50 |
-0.41 |
-0.36 |
-0.34 |
1.00 |
-0.46 |
-0.18 |
-0.20 |
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2.18 |
11.11 |
Gold |
AC6 |
0.93 |
0.93 |
0.21 |
0.60 |
-0.46 |
1.00 |
0.32 |
0.37 |
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12.68 |
12.79 |
Silver |
AC7 |
0.27 |
0.26 |
0.00 |
0.17 |
-0.18 |
0.32 |
1.00 |
-0.04 |
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4.51 |
627.82 |
World Index |
AC8 |
0.39 |
0.39 |
-0.62 |
0.41 |
-0.20 |
0.37 |
-0.04 |
1.00 |
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5.05 |
425.22 |
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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. |
35.74% |
Portfolio Return |
6.62% |
Start Date |
19 Mar 2022 |
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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