ALM ES Correlations

0P0001NBQF

127.83 0.07 0.05%

A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as ALM ES moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ALM ES Actions moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

ALM ES Correlation With Market

Good diversification

The correlation between ALM ES Actions and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ALM ES Actions and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to ALM ES could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ALM ES when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back ALM ES - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling ALM ES Actions to buy it.

Moving together with ALM Fund

0.65	0P00001S8S	Groupama Entreprises	Pair Corr
0.8	DEDL	BerolinaCapital Premium	Pair Corr
0.66	E908	Lyxor 1	Pair Corr

Moving against ALM Fund

0.55	DBPD	Xtrackers ShortDAX	Pair Corr
0.34	0P00000PM8	Renaissance Europe	Pair Corr

Related Correlations Analysis

	0P00001S8S	0P00000PM8	8SP	39O1	INVN	IUI1	INL	VOW	RS6	RRU
0P00001S8S		-0.69	-0.69	-0.82	0.8	0.89	-0.24	-0.69	0.39	0.68	0P00001S8S
0P00000PM8	-0.69		0.8	0.75	-0.42	-0.77	-0.37	0.82	-0.51	-0.21	0P00000PM8
8SP	-0.69	0.8		0.77	-0.43	-0.72	-0.24	0.71	-0.42	-0.32	8SP
39O1	-0.82	0.75	0.77		-0.47	-0.7	0.1	0.55	-0.16	-0.39	39O1
INVN	0.8	-0.42	-0.43	-0.47		0.82	-0.17	-0.65	0.63	0.66	INVN
IUI1	0.89	-0.77	-0.72	-0.7	0.82		0.09	-0.85	0.69	0.56	IUI1
INL	-0.24	-0.37	-0.24	0.1	-0.17	0.09		-0.4	0.53	-0.34	INL
VOW	-0.69	0.82	0.71	0.55	-0.65	-0.85	-0.4		-0.83	-0.33	VOW
RS6	0.39	-0.51	-0.42	-0.16	0.63	0.69	0.53	-0.83		0.22	RS6
RRU	0.68	-0.21	-0.32	-0.39	0.66	0.56	-0.34	-0.33	0.22		RRU
	0P00001S8S	0P00000PM8	8SP	39O1	INVN	IUI1	INL	VOW	RS6	RRU

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

IUI1	+ 0.89	0P00001S8S
VOW	+ 0.82	0P00000PM8
IUI1	+ 0.82	INVN
INVN	+ 0.8	0P00001S8S
8SP	+ 0.8	0P00000PM8
39O1	+ 0.77	8SP

High negative correlations

VOW	- 0.85	IUI1
RS6	- 0.83	VOW
39O1	- 0.82	0P00001S8S
IUI1	- 0.77	0P00000PM8
IUI1	- 0.72	8SP
IUI1	- 0.7	39O1

Risk-Adjusted Indicators

There is a big difference between ALM Fund performing well and ALM ES Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze ALM ES's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
0P00001S8S	0.01	0.00	0.00	2.25	0.00	0.00	0.04	0.00	0.04
0P00000PM8	0.64	(0.11)	0.00	0.72	0.00	0.00	0.99	(1.76)	3.34
8SP	2.07	(0.19)	0.00	0.80	0.00	0.00	3.05	(4.56)	20.22
39O1	3.22	(0.42)	0.00	(0.82)	0.00	0.00	8.09	(5.63)	20.83
INVN	2.18	0.23	0.07	(0.25)	2.47	(2.47)	5.45	(4.00)	14.01
IUI1	1.23	0.31	0.21	(0.59)	1.03	(1.39)	3.28	(1.96)	10.73
INL	2.35	(0.08)	0.00	(0.13)	0.00	0.00	5.87	(5.34)	16.28
VOW	1.19	(0.14)	0.00	0.45	0.00	0.00	2.84	(2.53)	7.15
RS6	1.39	0.03	0.00	(0.04)	1.57	(1.55)	2.15	(2.93)	15.24
RRU	1.57	0.13	0.06	0.77	1.87	(1.77)	3.27	(2.92)	9.56

ALM ES Related Equities

One of the popular trading techniques among algorithmic traders is to use market-neutral strategies where every trade hedges away some risk. Because there are two separate transactions required, even if one position performs unexpectedly, the other equity can make up some of the losses. Below are some of the equities that can be combined with ALM ES fund to make a market-neutral strategy. Peer analysis of ALM ES could also be used in its relative valuation, which is a method of valuing ALM ES by comparing valuation metrics with similar companies.

Groupama Entreprises N Renaissance Europe C Superior Plus Corp Origin Agritech Identiv INTUITIVE SURGICAL Intel Volkswagen AG Reliance Steel Aluminum Rolls Royce Holdings plc American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup

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