| Your Current Location : Correlation : Asset Class Correlation |
| |
Asset Class Correlation Matrix |
|
| |
| The following table shows return correlations between various Asset Classes over the past 3 Years. |
| |
|
|
AC1 |
AC2 |
AC3 |
AC4 |
AC5 |
AC6 |
AC7 |
AC8 |
|
Return |
SD |
| Corporate Bond |
AC1 |
1.00 |
1.00 |
0.97 |
0.92 |
-0.86 |
0.95 |
0.41 |
0.98 |
|
6.14 |
1.35 |
| CRISIL 1 Yr T-Bill |
AC2 |
1.00 |
1.00 |
0.98 |
0.92 |
-0.82 |
0.95 |
0.40 |
0.98 |
|
5.30 |
0.49 |
| Emerging Market |
AC3 |
0.97 |
0.98 |
1.00 |
0.97 |
-0.81 |
0.92 |
0.22 |
1.00 |
|
14.58 |
37.71 |
| Equity India |
AC4 |
0.92 |
0.92 |
0.97 |
1.00 |
-0.72 |
0.81 |
0.50 |
0.97 |
|
11.94 |
16.06 |
| Gilt 10 years |
AC5 |
-0.86 |
-0.82 |
-0.81 |
-0.72 |
1.00 |
-0.92 |
-0.53 |
-0.80 |
|
-4.16 |
9.15 |
| Gold |
AC6 |
0.95 |
0.95 |
0.92 |
0.81 |
-0.92 |
1.00 |
0.62 |
0.92 |
|
27.05 |
16.18 |
| Silver |
AC7 |
0.41 |
0.40 |
0.22 |
0.50 |
-0.53 |
0.62 |
1.00 |
0.21 |
|
25.91 |
548.19 |
| World Index |
AC8 |
0.98 |
0.98 |
1.00 |
0.97 |
-0.80 |
0.92 |
0.21 |
1.00 |
|
15.44 |
38.44 |
|
| |
| |
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. |
26.31% |
| Portfolio Return |
12.77% |
| Start Date |
06 Jan 2023 |
| End Date |
24 Sep 2025 |
|
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
