Parametric Equity Correlations

PEPS Etf

23.76 0.05 0.21%

The current 90-days correlation between Parametric Equity Plus and FT Vest Equity is -0.15 (i.e., Good diversification). The correlation of Parametric Equity 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.

Parametric Equity Correlation With Market

Poor diversification

The correlation between Parametric Equity Plus and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Equity Plus and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Parametric Equity Plus. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Parametric Etf

0.7	JEPI	JPMorgan Equity Premium	Pair Corr
0.92	XYLD	Global X SP	Pair Corr
0.7	DIVO	Amplify CWP Enhanced	Pair Corr
0.88	RYLD	Global X Russell	Pair Corr
0.89	JEPQ	JPMorgan Nasdaq Equity	Pair Corr
0.76	BUYW	Main Buywrite ETF	Pair Corr
0.67	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.84	FNGO	MicroSectors FANG Index	Pair Corr
0.76	DUSL	Direxion Daily Indus	Pair Corr
0.78	TECL	Direxion Daily Technology	Pair Corr
0.89	SPXL	Direxion Daily SP500	Pair Corr
0.89	UPRO	ProShares UltraPro SP500	Pair Corr
0.83	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.76	HD	Home Depot	Pair Corr
0.84	AXP	American Express	Pair Corr
0.77	WMT	Walmart	Pair Corr
0.82	BAC	Bank of America Aggressive Push	Pair Corr
0.7	HPQ	HP Inc	Pair Corr

Moving against Parametric Etf

0.56	NUSI	NEOS ETF Trust Symbol Change	Pair Corr
0.41	VZ	Verizon Communications	Pair Corr
0.37	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.34	GDXU	MicroSectors Gold Miners	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.08	0.46	-0.53	0.3	0.41	0.28	0.9	-0.74	-0.03	META
MSFT	0.08		-0.53	0.02	-0.67	0.81	0.68	0.35	0.27	-0.35	MSFT
UBER	0.46	-0.53		-0.39	0.63	-0.34	-0.33	0.33	-0.74	0.38	UBER
F	-0.53	0.02	-0.39		0.0	-0.05	-0.16	-0.37	0.51	0.36	F
T	0.3	-0.67	0.63	0.0		-0.51	-0.71	0.16	-0.65	0.6	T
A	0.41	0.81	-0.34	-0.05	-0.51		0.64	0.64	0.07	-0.23	A
CRM	0.28	0.68	-0.33	-0.16	-0.71	0.64		0.36	0.23	-0.61	CRM
JPM	0.9	0.35	0.33	-0.37	0.16	0.64	0.36		-0.63	0.06	JPM
MRK	-0.74	0.27	-0.74	0.51	-0.65	0.07	0.23	-0.63		-0.32	MRK
XOM	-0.03	-0.35	0.38	0.36	0.6	-0.23	-0.61	0.06	-0.32		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.9	META
A	+ 0.81	MSFT
CRM	+ 0.68	MSFT
CRM	+ 0.64	A
JPM	+ 0.64	A
T	+ 0.63	UBER

High negative correlations

MRK	- 0.74	UBER
MRK	- 0.74	META
CRM	- 0.71	T
T	- 0.67	MSFT
MRK	- 0.65	T
MRK	- 0.63	JPM

Parametric Equity Competition Risk-Adjusted Indicators

There is a big difference between Parametric Etf performing well and Parametric Equity 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 Parametric Equity'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
META	1.63	0.04	0.02	0.00	2.27	(1.46)	2.96	(3.73)	8.90
MSFT	1.11	(0.18)	0.00	5.95	0.00	0.00	2.58	(2.14)	10.31
UBER	1.95	0.38	0.17	23.98	2.11	(2.17)	4.72	(3.13)	12.75
F	1.44	0.14	0.06	0.09	2.12	(1.42)	2.71	(2.88)	10.14
T	0.99	0.29	0.19	0.56	1.43	(1.11)	1.90	(1.55)	11.66
A	1.15	(0.18)	0.00	4.17	0.00	0.00	2.92	(2.59)	9.03
CRM	1.40	(0.29)	0.00	(0.29)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.14	0.10	0.05	0.05	1.76	(1.09)	2.16	(3.35)	6.85
MRK	1.16	(0.11)	0.00	1.03	0.00	0.00	2.07	(1.80)	11.58
XOM	1.03	0.13	0.10	0.27	1.28	(1.06)	2.55	(2.36)	5.89

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