ABB Correlations

ABJA Stock

76.40 1.40 1.87%

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 0.72 (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 Stock

0.86	SSUN	Samsung Electronics	Pair Corr
0.87	SSU	Samsung Electronics	Pair Corr
0.88	SSU	Samsung Electronics	Pair Corr
0.86	SSUN	Samsung Electronics	Pair Corr
0.63	CWW	Commonwealth Bank	Pair Corr
0.82	LLD2	Lloyds Banking Group	Pair Corr
0.63	D4R	ROMIOS GOLD RES Split	Pair Corr
0.66	S3Q	Roxmore Resources Split	Pair Corr
0.74	7YZ	THARISA NON LIST	Pair Corr
0.88	WWR	Woolworths Group Earnings Call This Week	Pair Corr
0.84	DJDA	DIeteren Group SA	Pair Corr
0.72	2HZ	Odyssean Investment Trust	Pair Corr
0.75	FEV	FORTEC Elektronik	Pair Corr
0.91	VVD	Veolia Environnement Earnings Call Next Week	Pair Corr
0.63	MTE	Micron Technology	Pair Corr
0.85	WCE	CECO ENVIRONMENTAL Earnings Call This Week	Pair Corr
0.67	SJ3	Sherwin Williams	Pair Corr
0.65	T4W	Toro Energy	Pair Corr

Moving against ABB Stock

0.42	APC	Apple Inc	Pair Corr
0.41	APC	Apple Inc	Pair Corr
0.61	4AH1	PT Ace Hardware	Pair Corr
0.32	ISM	PT Indofood Sukses	Pair Corr

Related Correlations Analysis

	8ZI	V2Q	FH0	N0S	E3G	ELG	GS2C	H3M
8ZI		-0.2	-0.28	0.67	-0.57	0.05	0.42	0.56	8ZI
V2Q	-0.2		0.35	-0.26	0.31	0.41	0.01	0.06	V2Q
FH0	-0.28	0.35		-0.44	-0.13	0.34	0.05	0.33	FH0
N0S	0.67	-0.26	-0.44		-0.49	0.11	0.32	0.31	N0S
E3G	-0.57	0.31	-0.13	-0.49		-0.26	-0.53	-0.69	E3G
ELG	0.05	0.41	0.34	0.11	-0.26		0.41	0.47	ELG
GS2C	0.42	0.01	0.05	0.32	-0.53	0.41		0.52	GS2C
H3M	0.56	0.06	0.33	0.31	-0.69	0.47	0.52		H3M
	8ZI	V2Q	FH0	N0S	E3G	ELG	GS2C	H3M

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

N0S	+ 0.67	8ZI
H3M	+ 0.56	8ZI
H3M	+ 0.52	GS2C
H3M	+ 0.47	ELG
GS2C	+ 0.42	8ZI
ELG	+ 0.41	V2Q

High negative correlations

H3M	- 0.69	E3G
E3G	- 0.57	8ZI
GS2C	- 0.53	E3G
E3G	- 0.49	N0S
N0S	- 0.44	FH0
FH0	- 0.28	8ZI

Risk-Adjusted Indicators

There is a big difference between ABB Stock 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
8ZI	1.09	0.19	0.14	0.43	0.97	(1.41)	2.90	(1.90)	6.93
V2Q	2.36	(0.42)	0.00	(2.56)	0.00	0.00	5.48	(5.96)	13.39
FH0	3.32	0.34	0.06	(0.18)	3.93	(3.72)	7.51	(7.00)	16.52
N0S	1.88	0.15	0.06	0.27	2.00	(2.24)	5.31	(3.55)	11.53
E3G	1.67	(0.30)	0.00	(0.98)	0.00	0.00	3.00	(3.81)	11.19
ELG	0.74	0.07	0.02	(0.90)	0.98	(1.52)	2.16	(1.95)	7.44
GS2C	2.00	0.11	0.03	0.41	2.36	(2.12)	4.17	(3.48)	18.00
H3M	3.10	1.02	0.22	1.22	3.50	(3.40)	7.31	(6.36)	21.26

Be your own money manager

Our tools can tell you how much better you can do entering a position in ABB 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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