Credit Enhanced Correlations

KTN Stock

USD 26.54 0.08 0.30%

The current 90-days correlation between Credit Enhanced Corts and Structured Products Corp is -0.13 (i.e., Good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Credit Enhanced moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Credit Enhanced Corts moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Credit Enhanced Correlation With Market

Good diversification

The correlation between Credit Enhanced Corts and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Credit Enhanced Corts and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Credit Enhanced Corts. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving against Credit Stock

0.31	EVTC	Evertec	Pair Corr
0.38	WT	WisdomTree	Pair Corr
0.37	DHIL	Diamond Hill Investment	Pair Corr
0.37	VRTS	Virtus Investment	Pair Corr
0.36	KICL	Kalyani Investment	Pair Corr
0.34	IPX	Impax Asset Management	Pair Corr

Related Correlations Analysis

	KTH	GJH	JBK	GJT	PFH
KTH		-0.28	0.07	-0.05	0.05	KTH
GJH	-0.28		-0.03	-0.07	-0.36	GJH
JBK	0.07	-0.03		-0.16	0.04	JBK
GJT	-0.05	-0.07	-0.16		0.28	GJT
PFH	0.05	-0.36	0.04	0.28		PFH
	KTH	GJH	JBK	GJT	PFH

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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

PFH	+ 0.28	GJT
JBK	+ 0.07	KTH
PFH	+ 0.05	KTH
PFH	+ 0.04	JBK

High negative correlations

PFH	- 0.36	GJH
GJH	- 0.28	KTH
GJT	- 0.16	JBK
GJT	- 0.07	GJH
GJT	- 0.05	KTH
JBK	- 0.03	GJH

Risk-Adjusted Indicators

There is a big difference between Credit Stock performing well and Credit Enhanced 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 Credit Enhanced'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
KTH	0.56	0.03	0.09	(3.63)	0.78	(0.62)	1.55	(1.57)	3.90
GJH	0.40	(0.02)	0.00	(1.64)	0.00	0.00	1.36	(1.53)	4.93
JBK	1.27	0.06	0.03	0.22	1.88	(2.16)	3.10	(4.16)	9.55
GJT	0.31	0.00	0.11	(0.09)	0.41	(0.41)	0.62	(0.80)	2.16
PFH	0.82	0.01	0.00	(0.05)	0.00	0.00	1.97	(1.41)	4.93

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