FactSet Research Correlations

FDS Stock

USD 216.81 3.64 1.71%

The current 90-days correlation between FactSet Research Systems and Morningstar is -0.09 (i.e., Good diversification). The correlation of FactSet Research 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.

FactSet Research Correlation With Market

Very good diversification

The correlation between FactSet Research Systems and DJI is -0.24 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with FactSet Stock

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in FactSet Research Systems. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with FactSet Stock

0.77	1QZ	COINBASE GLBCLA 00001	Pair Corr
0.89	FA1	FactSet Research Systems	Pair Corr
0.82	X	TMX Group Limited	Pair Corr
0.85	MCO	Moodys	Pair Corr
0.92	HOOD	Robinhood Markets	Pair Corr
0.85	NAQ	Nasdaq Inc	Pair Corr
0.81	LS4C	London Stock Exchange	Pair Corr
0.82	9TX	TMX GROUP LTD	Pair Corr
0.85	MHL	SP Global	Pair Corr
0.78	LSEG	London Stock Exchange	Pair Corr
0.86	MORN	Morningstar	Pair Corr
0.86	NDAQ	Nasdaq Inc Normal Trading	Pair Corr

Moving against FactSet Stock

0.93	CME	CME Group	Pair Corr
0.76	MLNMA	Nicolas Miguet et	Pair Corr
0.68	YBV0	B3 SA UNSPADR1	Pair Corr
0.67	TW	Tradeweb Markets Normal Trading	Pair Corr
0.64	AUX	ASX Limited	Pair Corr
0.63	AUX1	ASX LTD UNSPONSADR	Pair Corr
0.63	LFIN	LongFin Corp	Pair Corr
0.57	C67	Cboe Global Markets	Pair Corr
0.44	OSKU	JAPAN EX UNADR	Pair Corr
0.86	MX4A	CME Group	Pair Corr
0.65	CBOE	Cboe Global Markets Low Volatility	Pair Corr
0.55	SOUU	SINGAPORE EXUNSPADR15	Pair Corr
0.54	EUX	EUWAX Aktiengesellschaft	Pair Corr
0.54	SOU	Singapore Exchange	Pair Corr
0.38	ASX	ASX	Pair Corr
0.31	MJP	Morningstar Japan	Pair Corr
0.31	COHG	Cheetah Oil Gas	Pair Corr

Related Correlations Analysis

	MORN	SEIC	JEF	CMA	XP	IVZ	ORI	AIZ	GGAL	AFG
MORN		0.35	0.45	-0.7	-0.71	0.18	0.11	0.43	0.46	0.33	MORN
SEIC	0.35		0.67	-0.31	-0.25	0.72	-0.22	0.76	0.74	-0.21	SEIC
JEF	0.45	0.67		-0.57	-0.5	0.46	0.06	0.6	0.73	0.11	JEF
CMA	-0.7	-0.31	-0.57		0.59	-0.15	-0.33	-0.53	-0.56	-0.47	CMA
XP	-0.71	-0.25	-0.5	0.59		-0.16	-0.52	-0.48	-0.32	-0.53	XP
IVZ	0.18	0.72	0.46	-0.15	-0.16		-0.05	0.47	0.39	-0.24	IVZ
ORI	0.11	-0.22	0.06	-0.33	-0.52	-0.05		0.11	-0.12	0.74	ORI
AIZ	0.43	0.76	0.6	-0.53	-0.48	0.47	0.11		0.67	0.19	AIZ
GGAL	0.46	0.74	0.73	-0.56	-0.32	0.39	-0.12	0.67		-0.01	GGAL
AFG	0.33	-0.21	0.11	-0.47	-0.53	-0.24	0.74	0.19	-0.01		AFG
	MORN	SEIC	JEF	CMA	XP	IVZ	ORI	AIZ	GGAL	AFG

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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

AIZ	+ 0.76	SEIC
GGAL	+ 0.74	SEIC
AFG	+ 0.74	ORI
GGAL	+ 0.73	JEF
IVZ	+ 0.72	SEIC
JEF	+ 0.67	SEIC

High negative correlations

XP	- 0.71	MORN
CMA	- 0.7	MORN
CMA	- 0.57	JEF
GGAL	- 0.56	CMA
AFG	- 0.53	XP
AIZ	- 0.53	CMA

Risk-Adjusted Indicators

There is a big difference between FactSet Stock performing well and FactSet Research 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 FactSet Research'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
MORN	1.62	(0.15)	0.00	0.36	0.00	0.00	3.85	(3.80)	12.13
SEIC	1.27	(0.07)	(0.02)	0.03	1.71	(1.28)	2.25	(2.85)	9.89
JEF	1.91	(0.49)	0.00	(0.24)	0.00	0.00	2.86	(5.59)	10.53
CMA	1.22	0.26	0.10	(0.59)	1.25	(1.57)	2.82	(2.15)	9.97
XP	2.21	0.29	0.09	0.34	2.83	(2.28)	5.29	(4.89)	15.10
IVZ	1.78	(0.01)	0.02	0.07	2.50	(1.70)	4.08	(4.02)	9.70
ORI	1.09	0.01	(0.03)	2.72	2.16	(1.03)	2.11	(2.02)	12.07
AIZ	1.00	0.01	(0.02)	0.10	2.18	(0.83)	2.05	(2.00)	11.00
GGAL	2.26	(0.31)	0.00	(0.17)	0.00	0.00	5.15	(4.57)	18.83
AFG	0.81	0.01	(0.07)	0.03	1.14	(0.83)	1.67	(2.02)	5.39

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