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 3 Years. |
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AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
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Return |
SD |
Corporate Bond |
AC1 |
1.00 |
0.98 |
-0.01 |
0.75 |
0.48 |
0.94 |
0.20 |
0.12 |
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5.20 |
7.07 |
CRISIL 1 Yr T-Bill |
AC2 |
0.98 |
1.00 |
-0.09 |
0.73 |
0.60 |
0.96 |
0.18 |
0.04 |
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5.20 |
0.79 |
Emerging Market |
AC3 |
-0.01 |
-0.09 |
1.00 |
0.13 |
-0.34 |
-0.12 |
0.01 |
-0.57 |
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0.00 |
399.02 |
Equity India |
AC4 |
0.75 |
0.73 |
0.13 |
1.00 |
0.32 |
0.66 |
0.12 |
0.17 |
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15.93 |
198.03 |
Gilt 10 years |
AC5 |
0.48 |
0.60 |
-0.34 |
0.32 |
1.00 |
0.60 |
0.01 |
-0.27 |
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6.03 |
10.27 |
Gold |
AC6 |
0.94 |
0.96 |
-0.12 |
0.66 |
0.60 |
1.00 |
0.24 |
0.00 |
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14.70 |
14.62 |
Silver |
AC7 |
0.20 |
0.18 |
0.01 |
0.12 |
0.01 |
0.24 |
1.00 |
-0.01 |
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4.84 |
720.29 |
World Index |
AC8 |
0.12 |
0.04 |
-0.57 |
0.17 |
-0.27 |
0.00 |
-0.01 |
1.00 |
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0.00 |
396.84 |
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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. |
33.11% |
Portfolio Return |
6.49% |
Start Date |
26 Apr 2021 |
End Date |
25 Apr 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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