ABB Correlations

ABBNY Stock

75.18 0.20 0.27%

The current 90-days correlation between ABB and Rolls Royce Holdings PLC is 0.37 (i.e., Weak diversification). The correlation of ABB 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.

ABB Correlation With Market

Poor diversification

The correlation between ABB and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ABB and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to ABB could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace ABB 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 ABB - 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 ABB to buy it.

Moving together with ABB Pink Sheet

0.75	RGC	Regencell Bioscience	Pair Corr
0.61	ASTI	Ascent Solar Technol Tech Boost	Pair Corr
0.69	TSLA	Tesla Inc	Pair Corr

Moving against ABB Pink Sheet

0.74	EFTR	Effector Therapeutics	Pair Corr
0.42	BCAB	Bioatla	Pair Corr
0.38	CHACR	Crane Harbor Acquisition	Pair Corr
0.34	AKAM	Akamai Technologies	Pair Corr
0.34	68233JBP8	US68233JBP84	Pair Corr
0.31	DNLMY	Dunelm Group PLC	Pair Corr

Related Correlations Analysis

	RYCEF	RYCEY	SBGSY	SAFRF	SBGSF	SAFRY	HTHIF	ACSAY	MIELY	MIELF
RYCEF		0.98	0.63	0.56	0.57	0.64	-0.29	-0.29	-0.11	-0.01	RYCEF
RYCEY	0.98		0.61	0.59	0.54	0.66	-0.3	-0.3	-0.12	-0.03	RYCEY
SBGSY	0.63	0.61		0.46	0.93	0.55	-0.22	-0.34	-0.2	-0.17	SBGSY
SAFRF	0.56	0.59	0.46		0.46	0.91	0.25	-0.15	0.01	0.01	SAFRF
SBGSF	0.57	0.54	0.93	0.46		0.54	-0.14	-0.33	-0.18	-0.13	SBGSF
SAFRY	0.64	0.66	0.55	0.91	0.54		0.19	-0.14	0.02	0.02	SAFRY
HTHIF	-0.29	-0.3	-0.22	0.25	-0.14	0.19		0.5	0.67	0.61	HTHIF
ACSAY	-0.29	-0.3	-0.34	-0.15	-0.33	-0.14	0.5		0.87	0.81	ACSAY
MIELY	-0.11	-0.12	-0.2	0.01	-0.18	0.02	0.67	0.87		0.94	MIELY
MIELF	-0.01	-0.03	-0.17	0.01	-0.13	0.02	0.61	0.81	0.94		MIELF
	RYCEF	RYCEY	SBGSY	SAFRF	SBGSF	SAFRY	HTHIF	ACSAY	MIELY	MIELF

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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

RYCEY	+ 0.98	RYCEF
MIELF	+ 0.94	MIELY
SBGSF	+ 0.93	SBGSY
SAFRY	+ 0.91	SAFRF
MIELY	+ 0.87	ACSAY
MIELF	+ 0.81	ACSAY

High negative correlations

ACSAY	- 0.34	SBGSY
ACSAY	- 0.33	SBGSF
ACSAY	- 0.3	RYCEY
HTHIF	- 0.3	RYCEY
ACSAY	- 0.29	RYCEF
HTHIF	- 0.29	RYCEF

Risk-Adjusted Indicators

There is a big difference between ABB Pink Sheet performing well and ABB 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 ABB'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
RYCEF	1.37	(0.07)	0.00	(0.02)	0.00	0.00	3.12	(2.55)	7.77
RYCEY	1.27	(0.09)	0.00	(0.02)	0.00	0.00	2.81	(2.19)	6.94
SBGSY	1.27	(0.06)	(0.02)	0.03	1.72	(1.24)	2.91	(2.85)	7.20
SAFRF	1.23	(0.01)	(0.03)	0.06	1.40	(1.34)	2.61	(2.37)	7.59
SBGSF	1.84	0.00	(0.01)	0.07	2.43	(1.85)	3.71	(4.66)	9.86
SAFRY	0.94	0.01	(0.02)	0.09	1.08	(1.03)	2.32	(1.78)	5.69
HTHIF	2.88	0.14	0.05	0.17	3.10	(3.31)	6.12	(4.41)	16.79
ACSAY	1.42	0.34	0.17	0.69	1.46	(1.62)	3.07	(2.54)	8.99
MIELY	1.56	0.15	0.08	0.21	1.71	(1.79)	3.18	(2.55)	11.63
MIELF	2.00	0.19	0.05	0.30	2.29	(3.01)	5.50	(5.69)	14.30

ABB Related Equities

One of the popular trading techniques among algorithmic traders is to use market-neutral strategies where every trade hedges away some risk. Because there are two separate transactions required, even if one position performs unexpectedly, the other equity can make up some of the losses. Below are some of the equities that can be combined with ABB pink sheet to make a market-neutral strategy. Peer analysis of ABB could also be used in its relative valuation, which is a method of valuing ABB by comparing valuation metrics with similar companies.

Rolls Royce Holdings PLC Rolls Royce Holdings Schneider Electric SA Safran SA Schneider Electric SE Safran SA Hitachi ACS Actividades De Mitsubishi Electric Corp Mitsubishi Electric American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup

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