Caxton Correlations

CAT Stock

1,410 1.00 0.07%

The current 90-days correlation between Caxton and Firstrand is 0.09 (i.e., Significant diversification). The correlation of Caxton 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.

Caxton Correlation With Market

Very weak diversification

The correlation between Caxton and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Caxton and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Caxton Stock

0.67	AGL	Anglo American PLC	Pair Corr
0.69	DSY	Discovery Holdings	Pair Corr
0.73	PPC	PPC	Pair Corr
0.89	TLM	Telemasters Holdings	Pair Corr
0.85	SAC	SA Corporate Real	Pair Corr
0.76	BRT	Brimstone Investment	Pair Corr
0.7	BHG	BHP Group Limited	Pair Corr
0.68	RBX	Raubex	Pair Corr

Moving against Caxton Stock

0.86	NPN	Naspers Limited	Pair Corr
0.83	PRX	Prosus NV	Pair Corr
0.53	TBS	Tiger Brands	Pair Corr
0.41	CFR	Compagnie Financire	Pair Corr
0.6	CLH	City Lodge Hotels	Pair Corr
0.4	HAR	Harmony Gold Mining Earnings Call This Week	Pair Corr

Related Correlations Analysis

	PRX	CFR	BTI	GLN	AGL	NPN	SZK	FSR
PRX		0.74	-0.54	-0.79	-0.88	0.97	0.2	-0.81	PRX
CFR	0.74		-0.37	-0.84	-0.77	0.7	0.25	-0.61	CFR
BTI	-0.54	-0.37		0.27	0.33	-0.65	0.19	0.16	BTI
GLN	-0.79	-0.84	0.27		0.94	-0.7	-0.32	0.82	GLN
AGL	-0.88	-0.77	0.33	0.94		-0.8	-0.29	0.88	AGL
NPN	0.97	0.7	-0.65	-0.7	-0.8		0.09	-0.68	NPN
SZK	0.2	0.25	0.19	-0.32	-0.29	0.09		-0.42	SZK
FSR	-0.81	-0.61	0.16	0.82	0.88	-0.68	-0.42		FSR
	PRX	CFR	BTI	GLN	AGL	NPN	SZK	FSR

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

NPN	+ 0.97	PRX
AGL	+ 0.94	GLN
FSR	+ 0.88	AGL
FSR	+ 0.82	GLN
CFR	+ 0.74	PRX
NPN	+ 0.7	CFR

High negative correlations

AGL	- 0.88	PRX
GLN	- 0.84	CFR
FSR	- 0.81	PRX
NPN	- 0.8	AGL
GLN	- 0.79	PRX
AGL	- 0.77	CFR

Risk-Adjusted Indicators

There is a big difference between Caxton Stock performing well and Caxton 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 Caxton'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
PRX	1.17	(0.47)	0.00	(1.35)	0.00	0.00	2.44	(2.73)	7.56
CFR	1.43	(0.27)	0.00	(0.75)	0.00	0.00	2.59	(4.15)	8.72
BTI	1.04	0.04	0.00	(0.48)	1.50	(1.03)	1.74	(2.78)	5.88
GLN	1.61	0.56	0.27	(2.46)	1.42	(1.90)	3.71	(2.59)	15.83
AGL	1.70	0.29	0.12	(4.31)	1.89	(1.80)	3.55	(3.41)	10.66
NPN	1.44	(0.36)	0.00	(0.86)	0.00	0.00	2.64	(2.99)	7.70
SZK	0.41	(0.09)	0.00	(0.21)	0.00	0.00	0.06	(0.15)	16.90
FSR	0.98	0.19	0.13	0.58	1.09	(1.16)	2.27	(1.53)	7.25

Caxton 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 Caxton stock to make a market-neutral strategy. Peer analysis of Caxton could also be used in its relative valuation, which is a method of valuing Caxton by comparing valuation metrics with similar companies.

Prosus NV Compagnie Financire Richemont British American Tobacco Glencore PLC Anglo American PLC Naspers Limited Sab Zenzele Kabili Firstrand American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup SentinelOne CVS Health Corp

Risk & Return

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