AMS Small Correlations
| ASCX Index | 1,166 21.81 1.84% |
The current 90-days correlation between AMS Small Cap and SBM Offshore NV is 0.33 (i.e., Weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AMS Small moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AMS Small Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction.
The ability to find closely correlated positions to AMS Small could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AMS Small 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 AMS Small - 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 AMS Small Cap to buy it.
Moving together with AMS Index
| 0.65 | PRX | Prosus NV Earnings Call Today | PairCorr |
| 0.69 | ADYEN | Adyen NV | PairCorr |
| 0.73 | UMG | Universal Music Group | PairCorr |
Moving against AMS Index
Related Correlations Analysis
| 0.14 | 0.1 | 0.67 | 0.04 | SBMO | ||
| 0.14 | -0.02 | 0.36 | -0.04 | AMG | ||
| 0.1 | -0.02 | -0.48 | -0.6 | BESI | ||
| 0.67 | 0.36 | -0.48 | 0.52 | FLOW | ||
| 0.04 | -0.04 | -0.6 | 0.52 | VASTN | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between AMS Index performing well and AMS Small Index 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 AMS Small'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SBMO | 1.00 | (0.01) | (0.05) | 0.10 | 1.29 | 2.03 | 5.83 | |||
| AMG | 1.90 | (0.17) | 0.00 | (0.01) | 0.00 | 4.50 | 12.31 | |||
| BESI | 2.14 | (0.21) | 0.00 | (0.04) | 0.00 | 4.93 | 15.40 | |||
| FLOW | 1.03 | 0.27 | 0.15 | 2.20 | 0.78 | 2.92 | 8.09 | |||
| VASTN | 0.70 | (0.01) | (0.10) | 0.08 | 0.80 | 1.64 | 6.27 |
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AMS Small Distribution of Returns
Predicted Return Density |
| Returns |
