| Your Current Location : Correlation : Country Correlation |
| |
Country Correlation Matrix |
|
| |
| The following table shows return correlations between various Country Indices over the past 3 Months. |
| |
|
|
C1 |
C2 |
C3 |
C4 |
C5 |
C6 |
C7 |
C8 |
C9 |
C10 |
C11 |
C12 |
C13 |
C14 |
C15 |
C16 |
C17 |
|
Return |
SD |
| BOVESPA (Brazil) |
C1 |
1.00 |
0.14 |
0.10 |
-0.09 |
0.01 |
-0.02 |
0.02 |
-0.16 |
0.04 |
0.02 |
0.06 |
-0.07 |
0.00 |
0.17 |
0.02 |
0.05 |
0.11 |
|
-2.69 |
697.39 |
| CAC (France) |
C2 |
0.14 |
1.00 |
0.71 |
0.24 |
0.58 |
0.07 |
0.19 |
0.15 |
0.07 |
0.19 |
0.03 |
-0.06 |
0.04 |
0.20 |
0.19 |
0.16 |
0.09 |
|
8.83 |
11.77 |
| DAX (Germany) |
C3 |
0.10 |
0.71 |
1.00 |
0.23 |
0.59 |
0.22 |
0.17 |
0.17 |
0.13 |
0.18 |
0.10 |
0.02 |
0.07 |
0.22 |
0.20 |
0.19 |
-0.08 |
|
7.74 |
11.45 |
| DJIA (USA) |
C4 |
-0.09 |
0.24 |
0.23 |
1.00 |
0.09 |
0.07 |
0.26 |
0.11 |
0.61 |
0.09 |
0.02 |
-0.13 |
0.19 |
0.09 |
0.11 |
-0.02 |
-0.04 |
|
-0.23 |
12.09 |
| FTSE 100 (UK) |
C5 |
0.01 |
0.58 |
0.59 |
0.09 |
1.00 |
0.31 |
0.25 |
0.27 |
0.08 |
0.31 |
0.14 |
0.03 |
-0.03 |
0.37 |
0.31 |
0.10 |
0.24 |
|
5.56 |
11.58 |
| HANGSENG (HONGKONG) |
C6 |
-0.02 |
0.07 |
0.22 |
0.07 |
0.31 |
1.00 |
0.17 |
0.21 |
0.09 |
0.18 |
-0.00 |
-0.26 |
-0.13 |
0.10 |
0.18 |
0.44 |
0.05 |
|
5.97 |
28.81 |
| JAKARTA (Indonesia) |
C7 |
0.02 |
0.19 |
0.17 |
0.26 |
0.25 |
0.17 |
1.00 |
0.13 |
0.08 |
-0.07 |
0.14 |
-0.08 |
0.09 |
0.24 |
-0.05 |
-0.13 |
0.09 |
|
-1.93 |
12.47 |
| KOSPI (S Korea) |
C8 |
-0.16 |
0.15 |
0.17 |
0.11 |
0.27 |
0.21 |
0.13 |
1.00 |
0.04 |
0.10 |
0.33 |
0.21 |
0.03 |
0.49 |
0.08 |
-0.04 |
0.30 |
|
4.81 |
19.65 |
| NASDAQ (USA) |
C9 |
0.04 |
0.07 |
0.13 |
0.61 |
0.08 |
0.09 |
0.08 |
0.04 |
1.00 |
0.21 |
-0.01 |
-0.09 |
0.09 |
0.07 |
0.23 |
0.05 |
-0.08 |
|
1.89 |
19.93 |
| NIFTY (India) |
C10 |
0.02 |
0.19 |
0.18 |
0.09 |
0.31 |
0.18 |
-0.07 |
0.10 |
0.21 |
1.00 |
0.10 |
0.05 |
-0.04 |
0.22 |
0.99 |
0.01 |
0.01 |
|
2.42 |
13.67 |
| NIKEEI (Japan) |
C11 |
0.06 |
0.03 |
0.10 |
0.02 |
0.14 |
-0.00 |
0.14 |
0.33 |
-0.01 |
0.10 |
1.00 |
0.03 |
0.20 |
0.49 |
0.10 |
0.04 |
0.24 |
|
3.07 |
21.26 |
| RTSI (Russia) |
C12 |
-0.07 |
-0.06 |
0.02 |
-0.13 |
0.03 |
-0.26 |
-0.08 |
0.21 |
-0.09 |
0.05 |
0.03 |
1.00 |
0.14 |
0.10 |
0.04 |
-0.17 |
-0.10 |
|
2.64 |
16.60 |
| S&P 500 (USA) |
C13 |
0.00 |
0.04 |
0.07 |
0.19 |
-0.03 |
-0.13 |
0.09 |
0.03 |
0.09 |
-0.04 |
0.20 |
0.14 |
1.00 |
-0.06 |
-0.01 |
-0.14 |
0.18 |
|
3.53 |
409.32 |
| S&P ASX 200 (Australia) |
C14 |
0.17 |
0.20 |
0.22 |
0.09 |
0.37 |
0.10 |
0.24 |
0.49 |
0.07 |
0.22 |
0.49 |
0.10 |
-0.06 |
1.00 |
0.21 |
-0.04 |
0.33 |
|
1.96 |
12.54 |
| SENSEX (India) |
C15 |
0.02 |
0.19 |
0.20 |
0.11 |
0.31 |
0.18 |
-0.05 |
0.08 |
0.23 |
0.99 |
0.10 |
0.04 |
-0.01 |
0.21 |
1.00 |
0.01 |
-0.00 |
|
1.96 |
13.89 |
| SHANGHAI (China) |
C16 |
0.05 |
0.16 |
0.19 |
-0.02 |
0.10 |
0.44 |
-0.13 |
-0.04 |
0.05 |
0.01 |
0.04 |
-0.17 |
-0.14 |
-0.04 |
0.01 |
1.00 |
-0.07 |
|
8.22 |
23.23 |
| STRAIT TIMES (Singapore) |
C17 |
0.11 |
0.09 |
-0.08 |
-0.04 |
0.24 |
0.05 |
0.09 |
0.30 |
-0.08 |
0.01 |
0.24 |
-0.10 |
0.18 |
0.33 |
-0.00 |
-0.07 |
1.00 |
|
1.16 |
13.55 |
|
| |
| |
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. |
41.58% |
| Portfolio Return |
3.23% |
| Start Date |
19 Jan 2024 |
| End Date |
19 Apr 2024 |
|
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
