Stock Correlation
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
|
Risk-Adjusted Indicators
There is a big difference between a company's stock performing well and the company itself 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 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AAL | 1.79 | (0.16) | 0.00 | 0.63 | 0.00 | 3.24 | 25.54 | |||
| AA | 1.91 | (0.55) | 0.00 | (1.01) | 0.00 | 2.96 | 13.90 | |||
| AAPL | 1.11 | 0.07 | 0.07 | 0.04 | 1.64 | 2.10 | 7.04 | |||
| BBY | 1.53 | (0.18) | 0.00 | (0.23) | 0.00 | 2.74 | 7.27 | |||
| C | 1.26 | 0.16 | 0.07 | 0.04 | 1.78 | 2.45 | 9.97 | |||
| S | 1.87 | (0.42) | 0.00 | (0.67) | 0.00 | 3.22 | 17.32 | |||
| CVS | 1.90 | 0.26 | 0.10 | 0.12 | 2.20 | 4.36 | 17.42 | |||
| CVX | 1.03 | (0.03) | 0.00 | (0.15) | 0.00 | 1.59 | 6.46 | |||
| HD | 1.00 | (0.10) | 0.00 | (0.21) | 0.00 | 2.21 | 5.76 | |||
| IBM | 1.11 | 0.23 | 0.20 | 0.41 | 1.18 | 1.96 | 16.71 |
An investor can reduce portfolio risk only by holding instruments that are not perfectly correlated.
In other words, investors can reduce their exposure to individual asset risk by holding a diversified portfolio of assets.
Diversification will allow for the same portfolio return with reduced risk.
This stock correlation screener helps you find relationships between any equity
instruments and their respective price or return movements over time enabling you
to manage your portfolio risk more effectively.
About correlation table
The correlation table is a two-dimensional matrix that shows the correlation coefficient between pairs of securities. The cells in the table are color-coded to highlight significantly positive and negative relationships. The Macroaxis Correlation Table is a table showing correlation coefficients between stocks, funds, ETFs, or cryptocurrencies. Each cell in the table shows the correlation between one pair of equities.About correlation cloud
Correlation cloud is a flat representation of correlation coefficients between pairs of securities. The links in the cloud are color-coded to highlight significantly positive and negative relationships. The Macroaxis Correlation Cloud is a scaled text that shows correlation coefficients between stocks, funds, ETFs, or cryptocurrencies. Each text element in the cloud shows the correlation between one pair of equities.To create correlation table or cloud specify valid comma-separated symbols and hit Build It button.
Please note, the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) have recently merged. Although Macroaxis has implemented solutions to handle this transition gracefully, you may still find some securities that may not be fully transferred from one exchange to another.
