Great Elm Correlations

GEG Stock

USD 2.00 0.06 3.09%

The current 90-days correlation between Great Elm Group and Investcorp Credit Management is -0.11 (i.e., Good diversification). The correlation of Great Elm 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.

Great Elm Correlation With Market

Modest diversification

The correlation between Great Elm Group and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great Elm Group and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Great Elm Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving against Great Stock

0.55	BX	Blackstone Group Normal Trading	Pair Corr
0.47	CG	Carlyle Group Normal Trading	Pair Corr
0.42	AX	Axos Financial	Pair Corr
0.32	AXP	American Express Sell-off Trend	Pair Corr
0.58	VALU	Value Line	Pair Corr
0.57	LC	LendingClub Corp Sell-off Trend	Pair Corr
0.53	KB	KB Financial Group	Pair Corr
0.46	WT	WisdomTree	Pair Corr
0.44	VBNK	VersaBank	Pair Corr
0.43	PX	P10 Inc	Pair Corr
0.4	SF	Stifel Financial	Pair Corr
0.37	EG	Everest Group	Pair Corr

Related Correlations Analysis

	ICMB	MRCC	NCZ	CBH	JHS	JPT	NXG	MUE	CMU	CXE
ICMB		-0.2	-0.54	0.0	0.72	0.0	0.09	0.47	0.65	0.59	ICMB
MRCC	-0.2		0.67	0.0	-0.14	0.0	0.31	0.59	0.32	0.48	MRCC
NCZ	-0.54	0.67		0.0	-0.5	0.0	0.33	0.34	-0.1	0.11	NCZ
CBH	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	CBH
JHS	0.72	-0.14	-0.5	0.0		0.0	-0.06	0.34	0.4	0.42	JHS
JPT	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	JPT
NXG	0.09	0.31	0.33	0.0	-0.06	0.0		0.43	0.19	0.31	NXG
MUE	0.47	0.59	0.34	0.0	0.34	0.0	0.43		0.7	0.82	MUE
CMU	0.65	0.32	-0.1	0.0	0.4	0.0	0.19	0.7		0.83	CMU
CXE	0.59	0.48	0.11	0.0	0.42	0.0	0.31	0.82	0.83		CXE
	ICMB	MRCC	NCZ	CBH	JHS	JPT	NXG	MUE	CMU	CXE

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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

CXE	+ 0.83	CMU
CXE	+ 0.82	MUE
JHS	+ 0.72	ICMB
CMU	+ 0.7	MUE
NCZ	+ 0.67	MRCC
CMU	+ 0.65	ICMB

High negative correlations

NCZ	- 0.54	ICMB
JHS	- 0.5	NCZ
MRCC	- 0.2	ICMB
JHS	- 0.14	MRCC
CMU	- 0.1	NCZ
NXG	- 0.06	JHS

Risk-Adjusted Indicators

There is a big difference between Great Stock performing well and Great Elm 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 Great Elm'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
ICMB	0.63	0.07	0.11	0.30	0.83	(0.76)	1.32	(1.86)	6.16
MRCC	0.87	0.01	0.00	(0.05)	0.00	0.00	1.46	(1.68)	7.09
NCZ	0.84	(0.03)	0.00	(0.12)	0.00	0.00	1.64	(1.58)	5.31
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JHS	0.38	0.02	0.17	0.17	0.44	(0.40)	0.64	(0.81)	2.23
JPT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
NXG	1.39	0.25	0.12	1.17	2.24	(1.40)	3.17	(2.21)	13.11
MUE	0.48	0.07	0.19	0.25	0.53	(0.54)	1.20	(0.98)	2.77
CMU	0.41	0.00	0.00	(0.08)	0.00	0.00	0.86	(0.86)	2.25
CXE	0.56	0.05	0.13	0.31	0.61	(0.64)	0.82	(1.07)	4.08

Great Elm Corporate Management

Peter Reed	Chief Officer	Profile
Nichole Milz	Chief Officer	Profile
Brent Pearson	CFO Officer	Profile
Keri Davis	Chief Officer	Profile

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