FirstRand Correlations

FANDY Stock

USD 40.77 0.99 2.49%

The current 90-days correlation between FirstRand ADR and Bank of America is -0.08 (i.e., Good diversification). The correlation of FirstRand 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. If the correlation is 0, the equities are not correlated; they are entirely random.

FirstRand Correlation With Market

Average diversification

The correlation between FirstRand Ltd ADR and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding FirstRand Ltd ADR and DJI in the same portfolio, assuming nothing else is changed.

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

Moving against FirstRand Pink Sheet

0.56	CBYDF	Corby Spirit	Pair Corr
0.56	TCTZF	Tencent Holdings	Pair Corr
0.51	AXSM	Axsome Therapeutics	Pair Corr
0.49	IDCBY	Industrial Commercial Earnings Call This Week	Pair Corr
0.46	CDUAF	Canadian Utilities	Pair Corr
0.42	BML-PG	Bank of America	Pair Corr
0.42	IDCBF	Industrial and Commercial	Pair Corr
0.41	NVRO	Nevro Corp	Pair Corr
0.41	CDR-PB	Cedar Realty Trust	Pair Corr
0.37	MUFG	Mitsubishi UFJ Financial Buyout Trend	Pair Corr
0.36	BAOB	Baraboo Bancorporation	Pair Corr
0.32	BAC-PK	Bank of America	Pair Corr

Related Correlations Analysis

	MUFG	NWG	BCS	BAC-PK	BBVA	UBS	ING	C	RY	BAC
MUFG		0.86	0.88	0.7	0.91	0.52	0.86	0.18	-0.53	-0.33	MUFG
NWG	0.86		0.95	0.7	0.93	0.4	0.87	0.08	-0.6	-0.46	NWG
BCS	0.88	0.95		0.79	0.94	0.58	0.86	0.29	-0.53	-0.31	BCS
BAC-PK	0.7	0.7	0.79		0.69	0.72	0.58	0.52	-0.23	0.02	BAC-PK
BBVA	0.91	0.93	0.94	0.69		0.45	0.94	0.12	-0.68	-0.48	BBVA
UBS	0.52	0.4	0.58	0.72	0.45		0.32	0.74	0.15	0.37	UBS
ING	0.86	0.87	0.86	0.58	0.94	0.32		-0.13	-0.79	-0.66	ING
C	0.18	0.08	0.29	0.52	0.12	0.74	-0.13		0.44	0.75	C
RY	-0.53	-0.6	-0.53	-0.23	-0.68	0.15	-0.79	0.44		0.81	RY
BAC	-0.33	-0.46	-0.31	0.02	-0.48	0.37	-0.66	0.75	0.81		BAC
	MUFG	NWG	BCS	BAC-PK	BBVA	UBS	ING	C	RY	BAC

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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

BCS	+ 0.95	NWG
BBVA	+ 0.94	BCS
ING	+ 0.94	BBVA
BBVA	+ 0.93	NWG
BBVA	+ 0.91	MUFG
BCS	+ 0.88	MUFG

High negative correlations

RY	- 0.79	ING
RY	- 0.68	BBVA
BAC	- 0.66	ING
RY	- 0.6	NWG
RY	- 0.53	BCS
RY	- 0.53	MUFG

Risk-Adjusted Indicators

There is a big difference between FirstRand Pink Sheet performing well and FirstRand 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 FirstRand'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
MUFG	1.26	0.31	0.23	0.31	1.15	(1.43)	3.55	(2.30)	7.42
NWG	1.65	0.39	0.15	0.21	2.12	(1.65)	4.30	(3.62)	10.99
BCS	1.82	0.39	0.16	0.21	2.08	(2.17)	4.50	(3.41)	14.95
BAC-PK	0.30	0.03	0.24	0.13	0.31	(0.35)	0.66	(0.52)	2.07
BBVA	1.53	0.59	0.35	0.57	1.21	(1.78)	4.05	(2.47)	8.81
UBS	1.40	0.13	0.06	0.05	2.18	(1.47)	3.11	(3.33)	11.01
ING	1.22	0.47	0.34	0.64	0.92	(1.35)	3.38	(2.21)	9.18
C	1.40	0.13	0.04	0.02	2.07	(1.32)	2.45	(3.48)	12.74
RY	0.90	(0.06)	0.00	(0.13)	0.00	0.00	1.55	(2.67)	6.21
BAC	1.14	(0.04)	0.00	(0.11)	0.00	0.00	1.81	(2.37)	10.83

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Our tools can tell you how much better you can do entering a position in FirstRand 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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