| 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 |
0.31 |
0.35 |
0.10 |
0.17 |
0.20 |
-0.02 |
0.15 |
0.34 |
0.10 |
0.02 |
0.23 |
-0.13 |
0.26 |
0.08 |
0.20 |
0.16 |
|
8.04 |
21.72 |
| CAC (France) |
C2 |
0.31 |
1.00 |
0.90 |
-0.01 |
0.76 |
0.27 |
0.28 |
0.26 |
0.38 |
0.16 |
0.29 |
0.28 |
-0.13 |
0.50 |
0.16 |
0.09 |
0.09 |
|
-1.01 |
15.55 |
| DAX (Germany) |
C3 |
0.35 |
0.90 |
1.00 |
0.03 |
0.69 |
0.33 |
0.35 |
0.35 |
0.47 |
0.26 |
0.36 |
0.25 |
-0.13 |
0.59 |
0.26 |
0.10 |
0.13 |
|
1.26 |
14.41 |
| DJIA (USA) |
C4 |
0.10 |
-0.01 |
0.03 |
1.00 |
0.06 |
0.11 |
-0.24 |
0.19 |
-0.02 |
-0.02 |
0.15 |
-0.01 |
-0.00 |
0.10 |
-0.01 |
0.03 |
0.01 |
|
2.47 |
547.82 |
| FTSE 100 (UK) |
C5 |
0.17 |
0.76 |
0.69 |
0.06 |
1.00 |
0.29 |
0.37 |
0.35 |
0.22 |
0.27 |
0.36 |
0.24 |
-0.15 |
0.41 |
0.27 |
0.11 |
0.19 |
|
1.58 |
13.68 |
| HANGSENG (HONGKONG) |
C6 |
0.20 |
0.27 |
0.33 |
0.11 |
0.29 |
1.00 |
0.45 |
0.54 |
0.22 |
0.36 |
0.43 |
0.09 |
0.09 |
0.53 |
0.37 |
0.59 |
0.22 |
|
-8.38 |
27.96 |
| JAKARTA (Indonesia) |
C7 |
-0.02 |
0.28 |
0.35 |
-0.24 |
0.37 |
0.45 |
1.00 |
0.59 |
0.16 |
0.37 |
0.47 |
0.18 |
0.00 |
0.39 |
0.39 |
0.43 |
0.22 |
|
1.15 |
13.34 |
| KOSPI (S Korea) |
C8 |
0.15 |
0.26 |
0.35 |
0.19 |
0.35 |
0.54 |
0.59 |
1.00 |
0.25 |
0.48 |
0.61 |
0.03 |
0.01 |
0.58 |
0.49 |
0.38 |
0.44 |
|
-1.26 |
24.52 |
| NASDAQ (USA) |
C9 |
0.34 |
0.38 |
0.47 |
-0.02 |
0.22 |
0.22 |
0.16 |
0.25 |
1.00 |
0.34 |
0.11 |
0.00 |
0.16 |
0.35 |
0.36 |
0.11 |
0.17 |
|
3.91 |
22.36 |
| NIFTY (India) |
C10 |
0.10 |
0.16 |
0.26 |
-0.02 |
0.27 |
0.36 |
0.37 |
0.48 |
0.34 |
1.00 |
0.42 |
0.07 |
0.16 |
0.38 |
0.99 |
0.19 |
0.33 |
|
3.61 |
11.16 |
| NIKEEI (Japan) |
C11 |
0.02 |
0.29 |
0.36 |
0.15 |
0.36 |
0.43 |
0.47 |
0.61 |
0.11 |
0.42 |
1.00 |
0.19 |
0.13 |
0.71 |
0.45 |
0.27 |
0.38 |
|
3.39 |
22.66 |
| RTSI (Russia) |
C12 |
0.23 |
0.28 |
0.25 |
-0.01 |
0.24 |
0.09 |
0.18 |
0.03 |
0.00 |
0.07 |
0.19 |
1.00 |
-0.06 |
0.11 |
0.09 |
0.08 |
-0.08 |
|
6.67 |
87.83 |
| S&P 500 (USA) |
C13 |
-0.13 |
-0.13 |
-0.13 |
-0.00 |
-0.15 |
0.09 |
0.00 |
0.01 |
0.16 |
0.16 |
0.13 |
-0.06 |
1.00 |
0.02 |
0.16 |
-0.01 |
0.07 |
|
2.74 |
506.47 |
| S&P ASX 200 (Australia) |
C14 |
0.26 |
0.50 |
0.59 |
0.10 |
0.41 |
0.53 |
0.39 |
0.58 |
0.35 |
0.38 |
0.71 |
0.11 |
0.02 |
1.00 |
0.39 |
0.34 |
0.36 |
|
-2.42 |
13.00 |
| SENSEX (India) |
C15 |
0.08 |
0.16 |
0.26 |
-0.01 |
0.27 |
0.37 |
0.39 |
0.49 |
0.36 |
0.99 |
0.45 |
0.09 |
0.16 |
0.39 |
1.00 |
0.21 |
0.34 |
|
2.49 |
10.84 |
| SHANGHAI (China) |
C16 |
0.20 |
0.09 |
0.10 |
0.03 |
0.11 |
0.59 |
0.43 |
0.38 |
0.11 |
0.19 |
0.27 |
0.08 |
-0.01 |
0.34 |
0.21 |
1.00 |
0.22 |
|
-3.64 |
13.15 |
| STRAIT TIMES (Singapore) |
C17 |
0.16 |
0.09 |
0.13 |
0.01 |
0.19 |
0.22 |
0.22 |
0.44 |
0.17 |
0.33 |
0.38 |
-0.08 |
0.07 |
0.36 |
0.34 |
0.22 |
1.00 |
|
-4.87 |
12.02 |
|
| |
| |
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. |
35.62% |
| Portfolio Return |
0.93% |
| Start Date |
29 Aug 2023 |
| End Date |
29 Nov 2023 |
|
| |
| 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 |
|
| |
|
|
| |
|
|
|
|
