EPAM Systems Correlations

E2PA34 Stock

19.32 0.07 0.36%

The current 90-days correlation between EPAM Systems and Taiwan Semiconductor Manufacturing is 0.08 (i.e., Significant diversification). The correlation of EPAM Systems 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.

EPAM Systems Correlation With Market

Weak diversification

The correlation between EPAM Systems and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding EPAM Systems and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with EPAM Stock

0.91	B1SA34	Banco Santander Chile	Pair Corr
0.92	GOGL35	Alphabet	Pair Corr
0.93	GOGL34	Alphabet	Pair Corr
0.86	H1SB34	HSBC Holdings plc	Pair Corr
0.93	AXIA6	Centrais Eltricas Split	Pair Corr
0.82	RENT3	Localiza Rent a	Pair Corr
0.83	C1TV34	Corteva	Pair Corr
0.75	C1MI34	Cummins	Pair Corr
0.86	M1DB34	MongoDB	Pair Corr
0.89	I1QV34	IQVIA Holdings	Pair Corr
0.89	B1TI34	British American Tobacco	Pair Corr
0.88	JSLG3	JSL SA	Pair Corr
0.94	ORVR3F	ORVR3F	Pair Corr
0.68	FLRY3	Fleury SA	Pair Corr
0.88	BONY34	The Bank	Pair Corr
0.94	ALPA4	Alpargatas SA	Pair Corr
0.79	RCSL4	Recrusul SA	Pair Corr
0.88	USBC34	US Bancorp Earnings Call Tomorrow	Pair Corr
0.84	D1VN34	Devon Energy	Pair Corr
0.68	VLID3	Valid Solues SA	Pair Corr
0.82	BRKM3	Braskem SA	Pair Corr
0.91	C1BO34	Cboe Global Markets	Pair Corr
0.71	R1JF34	Raymond James Financial	Pair Corr
0.91	N2LY34	Annaly Capital Management	Pair Corr
0.71	TPIS3	Triunfo Participaes	Pair Corr

Moving against EPAM Stock

0.76	MSFT34	Microsoft	Pair Corr
0.64	BABA34	Alibaba Group Holding	Pair Corr
0.48	W1SO34	Watsco	Pair Corr

Related Correlations Analysis

	TSMC34	AAPL34	BABA34	MSFT34	B1SA34	GOGL35	GOGL34	AMZO34	H1SB34	BERK34
TSMC34		-0.27	0.13	-0.29	0.58	0.44	0.46	0.39	0.67	-0.08	TSMC34
AAPL34	-0.27		-0.44	-0.23	0.32	0.55	0.53	0.16	0.21	0.42	AAPL34
BABA34	0.13	-0.44		0.53	-0.5	-0.52	-0.55	-0.12	-0.46	-0.7	BABA34
MSFT34	-0.29	-0.23	0.53		-0.71	-0.8	-0.78	-0.26	-0.6	-0.35	MSFT34
B1SA34	0.58	0.32	-0.5	-0.71		0.88	0.9	0.57	0.93	0.43	B1SA34
GOGL35	0.44	0.55	-0.52	-0.8	0.88		0.97	0.47	0.78	0.44	GOGL35
GOGL34	0.46	0.53	-0.55	-0.78	0.9	0.97		0.51	0.81	0.45	GOGL34
AMZO34	0.39	0.16	-0.12	-0.26	0.57	0.47	0.51		0.56	-0.13	AMZO34
H1SB34	0.67	0.21	-0.46	-0.6	0.93	0.78	0.81	0.56		0.41	H1SB34
BERK34	-0.08	0.42	-0.7	-0.35	0.43	0.44	0.45	-0.13	0.41		BERK34
	TSMC34	AAPL34	BABA34	MSFT34	B1SA34	GOGL35	GOGL34	AMZO34	H1SB34	BERK34

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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

GOGL34	+ 0.97	GOGL35
H1SB34	+ 0.93	B1SA34
GOGL34	+ 0.9	B1SA34
GOGL35	+ 0.88	B1SA34
H1SB34	+ 0.81	GOGL34
H1SB34	+ 0.78	GOGL35

High negative correlations

GOGL35	- 0.8	MSFT34
GOGL34	- 0.78	MSFT34
B1SA34	- 0.71	MSFT34
BERK34	- 0.7	BABA34
H1SB34	- 0.6	MSFT34
GOGL34	- 0.55	BABA34

Risk-Adjusted Indicators

There is a big difference between EPAM Stock performing well and EPAM Systems 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 EPAM Systems' 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
TSMC34	1.61	0.20	0.10	0.33	1.63	(1.74)	3.42	(2.62)	11.08
AAPL34	1.00	0.06	(0.05)	(0.08)	1.19	(0.98)	2.56	(1.93)	6.29
BABA34	2.07	(0.02)	(0.01)	0.07	2.21	(2.27)	4.89	(3.29)	10.29
MSFT34	0.99	(0.17)	0.00	1.64	0.00	0.00	1.65	(2.24)	7.30
B1SA34	1.07	0.26	0.11	0.68	1.31	(1.37)	2.59	(1.72)	10.62
GOGL35	1.57	0.44	0.25	1.27	1.21	(1.92)	3.81	(2.22)	9.86
GOGL34	1.55	0.48	0.23	4.43	1.25	(1.77)	4.00	(2.52)	11.31
AMZO34	1.43	0.07	0.02	0.23	1.65	(1.52)	3.34	(3.37)	9.20
H1SB34	1.00	0.36	0.31	1.50	0.50	(1.26)	2.88	(1.10)	7.84
BERK34	0.83	(0.01)	0.00	0.11	0.00	0.00	1.96	(1.53)	6.51

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

Taiwan Semiconductor Manufacturing Apple Inc Alibaba Group Holding Microsoft Banco Santander Chile Alphabet Alphabet Amazon Inc HSBC Holdings plc Berkshire Hathaway American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup

Risk & Return

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