BAE Systems Correlations

BAESF Stock

USD 18.53 0.93 5.28%

The current 90-days correlation between BAE Systems PLC and Huntington Ingalls Industries is 0.31 (i.e., Weak diversification). The correlation of BAE Systems 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.

BAE Systems Correlation With Market

Modest diversification

The correlation between BAE Systems PLC and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding BAE Systems PLC and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to BAE Systems could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BAE Systems 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 BAE Systems - 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 BAE Systems PLC to buy it.

Moving together with BAE Pink Sheet

0.67	T	ATT Inc Aggressive Push	Pair Corr
0.69	WPM	Wheaton Precious Metals	Pair Corr
0.64	YUM	Yum Brands	Pair Corr
0.71	KO	Coca Cola	Pair Corr
0.61	HWM	Howmet Aerospace	Pair Corr

Moving against BAE Pink Sheet

0.6

NTRP

NextTrip Symbol Change

Pair Corr

Related Correlations Analysis

	HII	RNMBY	EADSY	GD	NOC	LHX	CW	HXL
HII		-0.52	-0.46	0.72	0.74	0.59	0.67	0.17	HII
RNMBY	-0.52		0.63	-0.67	-0.46	-0.53	-0.74	0.15	RNMBY
EADSY	-0.46	0.63		-0.76	-0.31	-0.72	-0.51	0.52	EADSY
GD	0.72	-0.67	-0.76		0.77	0.93	0.83	-0.12	GD
NOC	0.74	-0.46	-0.31	0.77		0.71	0.71	0.24	NOC
LHX	0.59	-0.53	-0.72	0.93	0.71		0.74	-0.22	LHX
CW	0.67	-0.74	-0.51	0.83	0.71	0.74		0.14	CW
HXL	0.17	0.15	0.52	-0.12	0.24	-0.22	0.14		HXL
	HII	RNMBY	EADSY	GD	NOC	LHX	CW	HXL

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

LHX	+ 0.93	GD
CW	+ 0.83	GD
NOC	+ 0.77	GD
NOC	+ 0.74	HII
CW	+ 0.74	LHX
GD	+ 0.72	HII

High negative correlations

GD	- 0.76	EADSY
CW	- 0.74	RNMBY
LHX	- 0.72	EADSY
GD	- 0.67	RNMBY
LHX	- 0.53	RNMBY
RNMBY	- 0.52	HII

Risk-Adjusted Indicators

There is a big difference between BAE Pink Sheet performing well and BAE Systems 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 BAE Systems' 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
HII	1.59	(0.09)	0.00	(0.20)	0.00	0.00	3.19	(3.51)	21.51
RNMBY	1.99	0.89	0.35	0.76	1.75	(2.31)	7.88	(3.97)	16.58
EADSY	1.15	0.27	0.21	0.66	1.08	(1.24)	2.59	(1.83)	9.32
GD	0.91	(0.14)	0.00	(0.32)	0.00	0.00	1.48	(2.20)	6.10
NOC	1.06	(0.10)	0.00	(0.84)	0.00	0.00	2.25	(2.71)	8.13
LHX	1.05	(0.27)	0.00	(0.89)	0.00	0.00	2.06	(2.60)	6.75
CW	1.46	(0.16)	0.00	(0.21)	0.00	0.00	2.55	(4.36)	16.04
HXL	1.25	0.12	0.07	0.11	1.57	(1.33)	2.81	(3.12)	7.60

Be your own money manager

Our tools can tell you how much better you can do entering a position in BAE Systems 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.

Did you try this?

Run Risk-Return Analysis Now

Risk-Return Analysis

View associations between returns expected from investment and the risk you assume

All Next

Launch Module

BAE Systems Corporate Management

Tania Gandamihardja	Group Director	Profile
Julian Cracknell	Chief Officer	Profile
Caitlin Hayden	Group Director	Profile
Neils Petersen	Chief Operations	Profile
Rolf Rue	Regional Markets	Profile

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC