Cap ISR Correlations

0P0001338C

EUR 5.98 0.04 0.67%

The current 90-days correlation between Cap ISR Actions and Renaissance Europe C is 0.85 (i.e., Very poor diversification). The correlation of Cap ISR 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.

Cap ISR Correlation With Market

Good diversification

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

The ability to find closely correlated positions to Cap ISR could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cap ISR when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Cap ISR - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Cap ISR Actions to buy it.

Moving together with Cap Fund

0.96	0P00000PM8	Renaissance Europe	Pair Corr
0.93	0P00008W4A	Pacteo Actions Europe	Pair Corr

Related Correlations Analysis

	0P00000PM8	0P0001338C	8SP	39O1	INVN	IUI1	INL	RS6	RRU
0P00000PM8		0.96	0.76	0.6	-0.59	-0.74	-0.52	-0.66	-0.3	0P00000PM8
0P0001338C	0.96		0.81	0.47	-0.67	-0.81	-0.61	-0.76	-0.41	0P0001338C
8SP	0.76	0.81		0.34	-0.76	-0.86	-0.71	-0.81	-0.55	8SP
39O1	0.6	0.47	0.34		-0.07	-0.3	0.03	-0.14	0.32	39O1
INVN	-0.59	-0.67	-0.76	-0.07		0.87	0.79	0.88	0.69	INVN
IUI1	-0.74	-0.81	-0.86	-0.3	0.87		0.76	0.91	0.57	IUI1
INL	-0.52	-0.61	-0.71	0.03	0.79	0.76		0.85	0.77	INL
RS6	-0.66	-0.76	-0.81	-0.14	0.88	0.91	0.85		0.63	RS6
RRU	-0.3	-0.41	-0.55	0.32	0.69	0.57	0.77	0.63		RRU
	0P00000PM8	0P0001338C	8SP	39O1	INVN	IUI1	INL	RS6	RRU

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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

0P0001338C	+ 0.96	0P00000PM8
RS6	+ 0.91	IUI1
RS6	+ 0.88	INVN
IUI1	+ 0.87	INVN
RS6	+ 0.85	INL
8SP	+ 0.81	0P0001338C

High negative correlations

IUI1	- 0.86	8SP
RS6	- 0.81	8SP
IUI1	- 0.81	0P0001338C
INVN	- 0.76	8SP
RS6	- 0.76	0P0001338C
IUI1	- 0.74	0P00000PM8

Risk-Adjusted Indicators

There is a big difference between Cap Fund performing well and Cap ISR Fund 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 Cap ISR'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
0P00000PM8	0.74	(0.09)	0.00	(1.01)	0.00	0.00	1.44	(1.95)	4.59
0P0001338C	0.55	(0.06)	0.00	3.71	0.00	0.00	1.13	(1.13)	2.58
8SP	2.05	(0.14)	0.00	0.38	0.00	0.00	3.36	(4.74)	20.22
39O1	3.32	(0.19)	0.00	(0.11)	0.00	0.00	8.09	(5.38)	24.06
INVN	2.09	0.36	0.08	(1.50)	2.12	(2.49)	5.61	(4.25)	14.01
IUI1	1.27	0.25	0.13	0.91	1.07	(1.49)	3.28	(1.96)	10.30
INL	2.49	0.22	0.12	0.24	2.26	(3.25)	6.80	(3.69)	13.89
RS6	1.40	0.25	0.11	0.68	1.38	(1.62)	2.94	(2.17)	13.51
RRU	1.71	0.03	0.03	0.15	1.96	(1.84)	3.66	(4.31)	10.56

Be your own money manager

Our tools can tell you how much better you can do entering a position in Cap ISR without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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