Global Tax Correlations

204620 Stock  KRW 3,730  115.00  2.99%   
The current 90-days correlation between Global Tax Free and Samsung Electronics Co is 0.24 (i.e., Modest diversification). The correlation of Global Tax is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Global Tax Correlation With Market

Significant diversification

The correlation between Global Tax Free and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Tax Free and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to Global Tax could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Global Tax 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 Global Tax - 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 Global Tax Free to buy it.

Moving together with Global Stock

  0.66003490 Korean Air LinesPairCorr
  0.61041510 SM EntertainmentPairCorr
  0.63071055 Korea Investment HoldingsPairCorr

Moving against Global Stock

  0.42005385 Hyundai MotorPairCorr
  0.41005387 Hyundai MotorPairCorr
  0.37006400 Samsung SDIPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Global Stock performing well and Global Tax Company 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 Global Tax'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
005935  1.62 (0.20) 0.00  1.02  0.00 
 2.74 
 10.84 
005930  1.66 (0.20) 0.00 (11.75) 0.00 
 3.94 
 10.64 
373220  2.18 (0.12) 0.00  0.33  0.00 
 4.09 
 17.72 
000660  2.52  0.18  0.05  1.40  2.89 
 4.89 
 14.85 
207940  0.86 (0.10) 0.00  10.38  0.00 
 2.57 
 7.43 
051915  2.12 (0.38) 0.00  1.13  0.00 
 4.35 
 14.51 
051910  1.93 (0.31) 0.00  1.32  0.00 
 4.14 
 15.97 
006400  2.44 (0.51) 0.00  0.69  0.00 
 4.45 
 15.04 
005387  1.36 (0.20) 0.00  5.27  0.00 
 2.58 
 7.99 
005385  1.18 (0.22) 0.00  1.44  0.00 
 2.87 
 7.51 

Be your own money manager

Our tools can tell you how much better you can do entering a position in Global Tax without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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