ClearBridge Sustainable Correlations

INFR Etf

USD 23.16 0.28 1.22%

The current 90-days correlation between ClearBridge Sustainable and FlexShares STOXX Global is 0.86 (i.e., Very poor diversification). The correlation of ClearBridge Sustainable 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.

ClearBridge Sustainable Correlation With Market

Very weak diversification

The correlation between ClearBridge Sustainable Infras and DJI is 0.47 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ClearBridge Sustainable Infras 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 ClearBridge Sustainable Infrastructure. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with ClearBridge Etf

0.75	PAVE	Global X Infrastructure Sell-off Trend	Pair Corr
0.78	NFRA	FlexShares STOXX Global	Pair Corr
0.84	IFRA	iShares Infrastructure	Pair Corr
0.77	TOLZ	ProShares DJ Brookfield	Pair Corr
0.81	SIMS	SPDR SP Kensho	Pair Corr
0.98	BLLD	JP Morgan Exchange	Pair Corr
0.76	XKII	SPDR Kensho Intelligent	Pair Corr
0.64	EWC	iShares MSCI Canada Sell-off Trend	Pair Corr
0.94	IRET	iREIT MarketVector	Pair Corr
0.78	DD	Dupont De Nemours	Pair Corr
0.86	HPQ	HP Inc Earnings Call Today	Pair Corr
0.87	TRV	The Travelers Companies	Pair Corr
0.78	XOM	Exxon Mobil Corp	Pair Corr
0.79	DIS	Walt Disney	Pair Corr
0.83	PG	Procter Gamble	Pair Corr

Moving against ClearBridge Etf

0.39	ARKW	ARK Next Generation	Pair Corr
0.39	RXI	iShares Global Consumer	Pair Corr
0.38	BST	BlackRock Science Tech	Pair Corr
0.38	DBEF	Xtrackers MSCI EAFE	Pair Corr
0.74	BA	Boeing	Pair Corr
0.48	MMM	3M Company	Pair Corr
0.4	AXP	American Express	Pair Corr
0.34	JPM	JPMorgan Chase	Pair Corr

Related Correlations Analysis

	NFRA	FTAG	YLDE	JSMD	JSML
NFRA		0.67	0.9	0.64	0.76	NFRA
FTAG	0.67		0.79	0.48	0.62	FTAG
YLDE	0.9	0.79		0.58	0.73	YLDE
JSMD	0.64	0.48	0.58		0.96	JSMD
JSML	0.76	0.62	0.73	0.96		JSML
	NFRA	FTAG	YLDE	JSMD	JSML

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ClearBridge Sustainable Constituents Risk-Adjusted Indicators

There is a big difference between ClearBridge Etf performing well and ClearBridge Sustainable ETF 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 ClearBridge Sustainable'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
NFRA	0.53	(0.01)	(0.01)	(0.01)	0.74	(0.54)	0.95	(0.97)	3.05
FTAG	0.66	0.05	0.05	0.10	0.87	(0.66)	1.57	(1.34)	4.72
YLDE	0.48	(0.01)	(0.01)	(0.01)	0.69	(0.52)	0.97	(0.85)	3.52
JSMD	0.77	(0.07)	0.00	(0.09)	0.00	0.00	1.46	(1.53)	6.12
JSML	0.90	(0.10)	0.00	(0.09)	0.00	0.00	1.61	(1.67)	5.83

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