Sun Life Correlations

SLF Stock

USD 56.20 0.49 0.86%

The current 90-days correlation between Sun Life Financial and Axa Equitable Holdings is 0.42 (i.e., Very weak diversification). The correlation of Sun Life 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.

Sun Life Correlation With Market

Significant diversification

The correlation between Sun Life Financial and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sun Life Financial and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Sun Life Financial. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis.

Moving together with Sun Stock

0.85

FIHL

Fidelis Insurance

Pair Corr

Moving against Sun Stock

0.83	ESGR	Enstar Group Limited	Pair Corr
0.69	GSHD	Goosehead Insurance	Pair Corr
0.59	HIG-PG	The Hartford Financial	Pair Corr
0.58	AIG	American International	Pair Corr
0.56	IGIC	International General	Pair Corr
0.54	ATH-PC	Athene Holding	Pair Corr
0.54	HIG	Hartford Financial	Pair Corr
0.52	ORI	Old Republic Interna	Pair Corr
0.49	ATH-PA	Athene Holding	Pair Corr
0.48	WDH	Waterdrop ADR	Pair Corr
0.38	ESGRP	Enstar Group	Pair Corr
0.36	EQH	Axa Equitable Holdings	Pair Corr
0.31	EQH-PA	Equitable Holdings	Pair Corr
0.59	CNO-PA	CNO Financial Group	Pair Corr
0.56	V	Visa Class A	Pair Corr
0.52	AC	Associated Capital	Pair Corr
0.51	FGFPP	Fundamental Global	Pair Corr
0.45	BK	Bank of New York	Pair Corr
0.38	MDBH	MDB Capital Holdings,	Pair Corr
0.33	CB	Chubb	Pair Corr

Related Correlations Analysis

	EQH	AIG	ACGL	ORI	HIG	GSHD	ESGR	ACGLO	AXAHY	IGIC
EQH		0.31	-0.03	0.58	0.4	0.58	0.61	0.49	0.0	0.72	EQH
AIG	0.31		-0.05	0.54	0.96	0.8	0.79	-0.17	0.0	0.49	AIG
ACGL	-0.03	-0.05		-0.05	0.1	-0.21	-0.35	0.05	0.0	-0.37	ACGL
ORI	0.58	0.54	-0.05		0.58	0.7	0.63	0.26	0.0	0.46	ORI
HIG	0.4	0.96	0.1	0.58		0.83	0.76	-0.11	0.0	0.52	HIG
GSHD	0.58	0.8	-0.21	0.7	0.83		0.83	0.12	0.0	0.68	GSHD
ESGR	0.61	0.79	-0.35	0.63	0.76	0.83		0.1	0.0	0.71	ESGR
ACGLO	0.49	-0.17	0.05	0.26	-0.11	0.12	0.1		0.0	0.17	ACGLO
AXAHY	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	AXAHY
IGIC	0.72	0.49	-0.37	0.46	0.52	0.68	0.71	0.17	0.0		IGIC
	EQH	AIG	ACGL	ORI	HIG	GSHD	ESGR	ACGLO	AXAHY	IGIC

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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

HIG	+ 0.96	AIG
GSHD	+ 0.83	HIG
ESGR	+ 0.83	GSHD
GSHD	+ 0.8	AIG
ESGR	+ 0.79	AIG
ESGR	+ 0.76	HIG

High negative correlations

IGIC	- 0.37	ACGL
ESGR	- 0.35	ACGL
GSHD	- 0.21	ACGL
ACGLO	- 0.17	AIG
ACGLO	- 0.11	HIG
ORI	- 0.05	ACGL

Risk-Adjusted Indicators

There is a big difference between Sun Stock performing well and Sun Life 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 Sun Life'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
EQH	1.39	0.18	0.11	(0.88)	2.01	(1.31)	2.97	(3.67)	9.18
AIG	0.98	0.23	0.23	(32.79)	0.98	(1.07)	2.47	(1.59)	7.38
ACGL	1.05	0.00	0.05	0.13	1.21	(1.15)	2.65	(2.08)	6.24
ORI	0.93	0.18	0.14	0.17	1.27	(0.90)	2.16	(2.20)	6.06
HIG	0.86	0.14	0.19	(6.51)	0.88	(0.96)	2.05	(1.37)	5.00
GSHD	2.14	0.29	0.15	(0.93)	2.19	(2.41)	4.49	(3.95)	21.17
ESGR	0.14	0.04	0.59	3.71	0.00	(0.17)	0.41	(0.21)	1.38
ACGLO	0.73	(0.03)	0.00	(0.27)	0.00	0.00	1.64	(1.54)	4.53
AXAHY	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
IGIC	1.62	0.18	0.11	0.59	1.96	(1.67)	2.89	(2.89)	8.27

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