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NSE Sectoral Correlation Matrix

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The following table shows return correlations between various NSE Sectoral Indices over the past 3 Months.

		N1	N2	N3	N4	N5	N6	N7	N8	N9	N10	N11	N12	N13	N14	N15	N16	N17	N18	N19	N20	N21	N22	N23	N24	N25	N26	N27	N28	Return	SD
NIFTY 50	N1	1.00	0.29	0.39	0.43	0.40	0.40	0.29	0.38	0.44	0.37	0.41	0.25	0.28	0.34	0.37	0.36	0.34	0.39	0.43	0.30	0.34	0.36	0.43	0.18	0.46	0.25	0.25	0.27	-2.98	14.31
NIFTY ALPHA 50	N2	0.29	1.00	0.44	0.49	0.57	0.48	0.76	0.58	0.46	0.64	0.56	0.54	0.47	0.40	0.76	0.75	0.76	0.46	0.68	0.44	0.76	0.58	0.45	0.50	0.62	0.69	0.69	0.70	5.64	9.89
NIFTY AUTO	N3	0.39	0.44	1.00	0.72	0.70	0.83	0.57	0.65	0.73	0.73	0.62	0.23	0.57	0.63	0.68	0.67	0.61	0.85	0.71	0.57	0.64	0.58	0.71	0.19	0.69	0.37	0.41	0.36	0.84	18.04
NIFTY BANK	N4	0.43	0.49	0.72	1.00	0.78	0.72	0.61	0.66	0.90	0.65	0.73	0.25	0.54	0.73	0.76	0.76	0.71	0.78	0.83	0.66	0.72	0.88	0.98	0.43	0.86	0.53	0.51	0.55	1.10	13.89
NIFTY COMMODITIES	N5	0.40	0.57	0.70	0.78	1.00	0.72	0.73	0.79	0.65	0.72	0.88	0.18	0.45	0.92	0.86	0.85	0.81	0.86	0.87	0.50	0.84	0.79	0.79	0.19	0.68	0.60	0.62	0.60	2.74	16.70
NIFTY CONSUMPTION	N6	0.40	0.48	0.83	0.72	0.72	1.00	0.55	0.67	0.71	0.85	0.70	0.28	0.67	0.63	0.64	0.64	0.57	0.82	0.81	0.55	0.60	0.60	0.72	0.17	0.73	0.34	0.36	0.35	-1.43	11.16
NIFTY CPSE	N7	0.29	0.76	0.57	0.61	0.73	0.55	1.00	0.73	0.54	0.63	0.61	0.25	0.39	0.58	0.82	0.83	0.78	0.54	0.72	0.51	0.95	0.70	0.58	0.47	0.58	0.64	0.58	0.63	1.27	18.06
NIFTY ENERGY	N8	0.38	0.58	0.65	0.66	0.79	0.67	0.73	1.00	0.59	0.65	0.88	0.22	0.37	0.56	0.71	0.71	0.64	0.65	0.75	0.49	0.81	0.64	0.66	0.23	0.63	0.45	0.41	0.45	-0.74	14.84
NIFTY FIN SERVICE	N9	0.44	0.46	0.73	0.90	0.65	0.71	0.54	0.59	1.00	0.60	0.64	0.33	0.60	0.57	0.67	0.65	0.59	0.67	0.72	0.58	0.63	0.74	0.87	0.36	0.93	0.41	0.39	0.45	2.48	11.09
NIFTY FMCG	N10	0.37	0.64	0.73	0.65	0.72	0.85	0.63	0.65	0.60	1.00	0.69	0.41	0.67	0.63	0.73	0.72	0.69	0.82	0.79	0.52	0.65	0.60	0.64	0.32	0.67	0.54	0.55	0.56	-3.04	9.98
NIFTY INFRA	N11	0.41	0.56	0.62	0.73	0.88	0.70	0.61	0.88	0.64	0.69	1.00	0.18	0.44	0.73	0.76	0.75	0.73	0.74	0.82	0.41	0.74	0.71	0.74	0.30	0.66	0.59	0.58	0.61	-0.30	14.11
NIFTY IT	N12	0.25	0.54	0.23	0.25	0.18	0.28	0.25	0.22	0.33	0.41	0.18	1.00	0.41	0.08	0.30	0.29	0.30	0.22	0.35	0.27	0.26	0.26	0.24	0.24	0.62	0.29	0.27	0.34	6.79	18.00
NIFTY MEDIA	N13	0.28	0.47	0.57	0.54	0.45	0.67	0.39	0.37	0.60	0.67	0.44	0.41	1.00	0.38	0.60	0.57	0.55	0.61	0.55	0.30	0.47	0.54	0.53	0.24	0.63	0.41	0.44	0.45	-6.81	27.46
NIFTY METAL	N14	0.34	0.40	0.63	0.73	0.92	0.63	0.58	0.56	0.57	0.63	0.73	0.08	0.38	1.00	0.74	0.73	0.71	0.84	0.77	0.47	0.68	0.69	0.76	0.13	0.56	0.53	0.58	0.52	10.37	26.47
NIFTY MIDCAP 100	N15	0.37	0.76	0.68	0.76	0.86	0.64	0.82	0.71	0.67	0.73	0.76	0.30	0.60	0.74	1.00	0.99	0.98	0.76	0.81	0.49	0.89	0.81	0.77	0.44	0.71	0.81	0.82	0.83	2.22	13.93
NIFTY MIDCAP 150	N16	0.36	0.75	0.67	0.76	0.85	0.64	0.83	0.71	0.65	0.72	0.75	0.29	0.57	0.73	0.99	1.00	0.98	0.76	0.79	0.49	0.89	0.82	0.76	0.43	0.70	0.83	0.83	0.83	2.96	12.23
NIFTY MIDSML 400	N17	0.34	0.76	0.61	0.71	0.81	0.57	0.78	0.64	0.59	0.69	0.73	0.30	0.55	0.71	0.98	0.98	1.00	0.72	0.75	0.45	0.85	0.77	0.71	0.47	0.66	0.91	0.92	0.90	3.46	11.72
NIFTY MNC	N18	0.39	0.46	0.85	0.78	0.86	0.82	0.54	0.65	0.67	0.82	0.74	0.22	0.61	0.84	0.76	0.76	0.72	1.00	0.79	0.51	0.67	0.74	0.78	0.13	0.68	0.48	0.54	0.48	0.16	11.09
NIFTY NEXT 50	N19	0.43	0.68	0.71	0.83	0.87	0.81	0.72	0.75	0.72	0.79	0.82	0.35	0.55	0.77	0.81	0.79	0.75	0.79	1.00	0.63	0.77	0.82	0.83	0.43	0.78	0.54	0.57	0.57	0.76	11.92
NIFTY PHARMA	N20	0.30	0.44	0.57	0.66	0.50	0.55	0.51	0.49	0.58	0.52	0.41	0.27	0.30	0.47	0.49	0.49	0.45	0.51	0.63	1.00	0.53	0.53	0.66	0.11	0.58	0.29	0.31	0.31	-0.80	12.30
NIFTY PSE	N21	0.34	0.76	0.64	0.72	0.84	0.60	0.95	0.81	0.63	0.65	0.74	0.26	0.47	0.68	0.89	0.89	0.85	0.67	0.77	0.53	1.00	0.78	0.70	0.41	0.67	0.70	0.66	0.70	0.54	17.27
NIFTY PSU BANK	N22	0.36	0.58	0.58	0.88	0.79	0.60	0.70	0.64	0.74	0.60	0.71	0.26	0.54	0.69	0.81	0.82	0.77	0.74	0.82	0.53	0.78	1.00	0.81	0.42	0.75	0.59	0.59	0.62	-2.14	38.25
NIFTY PVT BANK	N23	0.43	0.45	0.71	0.98	0.79	0.72	0.58	0.66	0.87	0.64	0.74	0.24	0.53	0.76	0.77	0.76	0.71	0.78	0.83	0.66	0.70	0.81	1.00	0.41	0.84	0.53	0.53	0.56	1.34	13.22
NIFTY REALTY	N24	0.18	0.50	0.19	0.43	0.19	0.17	0.47	0.23	0.36	0.32	0.30	0.24	0.24	0.13	0.44	0.43	0.47	0.13	0.43	0.11	0.41	0.42	0.41	1.00	0.39	0.59	0.51	0.59	7.74	15.02
NIFTY SERV SECTOR	N25	0.46	0.62	0.69	0.86	0.68	0.73	0.58	0.63	0.93	0.67	0.66	0.62	0.63	0.56	0.71	0.70	0.66	0.68	0.78	0.58	0.67	0.75	0.84	0.39	1.00	0.50	0.48	0.54	3.21	10.76
NIFTY SMLCAP 100	N26	0.25	0.69	0.37	0.53	0.60	0.34	0.64	0.45	0.41	0.54	0.59	0.29	0.41	0.53	0.81	0.83	0.91	0.48	0.54	0.29	0.70	0.59	0.53	0.59	0.50	1.00	0.97	0.98	4.19	12.72
NIFTY SMLCAP 250	N27	0.25	0.69	0.41	0.51	0.62	0.36	0.58	0.41	0.39	0.55	0.58	0.27	0.44	0.58	0.82	0.83	0.92	0.54	0.57	0.31	0.66	0.59	0.53	0.51	0.48	0.97	1.00	0.95	4.58	11.99
NIFTY SMLCAP 50	N28	0.27	0.70	0.36	0.55	0.60	0.35	0.63	0.45	0.45	0.56	0.61	0.34	0.45	0.52	0.83	0.83	0.90	0.48	0.57	0.31	0.70	0.62	0.56	0.59	0.54	0.98	0.95	1.00	5.21	13.99

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.	19.70%
Portfolio Return	1.76%
Start Date	26 Nov 2019
End Date	26 Feb 2020

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

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