FactSet Research Correlations

FDS Stock

USD 291.77 5.15 1.73%

The current 90-days correlation between FactSet Research Systems and Morningstar is 0.64 (i.e., Poor 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

Modest diversification

The correlation between FactSet Research Systems and DJI is 0.23 (i.e., Modest 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 signals in american community survey.

Moving together with FactSet Stock

0.68	ACN	Accenture plc	Pair Corr
0.71	MCHP	Microchip Technology	Pair Corr

Moving against FactSet Stock

0.52	PIFMY	Indofood Sukses Makmur	Pair Corr
0.43	LPG	Dorian LPG	Pair Corr
0.33	DQ	Daqo New Energy	Pair Corr
0.4	CLS	Celestica	Pair Corr

Related Correlations Analysis

	MORN	SEIC	JEF	CMA	XP	IVZ	ORI	AIZ	GGAL	AFG
MORN		0.29	0.02	0.03	-0.3	0.0	-0.04	-0.11	-0.49	-0.08	MORN
SEIC	0.29		0.7	0.77	-0.36	0.75	0.34	0.58	0.24	0.08	SEIC
JEF	0.02	0.7		0.95	-0.19	0.93	0.72	0.85	0.44	0.2	JEF
CMA	0.03	0.77	0.95		-0.29	0.97	0.69	0.84	0.41	0.17	CMA
XP	-0.3	-0.36	-0.19	-0.29		-0.23	-0.23	-0.22	0.41	0.04	XP
IVZ	0.0	0.75	0.93	0.97	-0.23		0.65	0.81	0.48	0.09	IVZ
ORI	-0.04	0.34	0.72	0.69	-0.23	0.65		0.88	0.2	0.53	ORI
AIZ	-0.11	0.58	0.85	0.84	-0.22	0.81	0.88		0.51	0.55	AIZ
GGAL	-0.49	0.24	0.44	0.41	0.41	0.48	0.2	0.51		0.21	GGAL
AFG	-0.08	0.08	0.2	0.17	0.04	0.09	0.53	0.55	0.21		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

IVZ	+ 0.97	CMA
CMA	+ 0.95	JEF
IVZ	+ 0.93	JEF
AIZ	+ 0.88	ORI
AIZ	+ 0.85	JEF
AIZ	+ 0.84	CMA

High negative correlations

GGAL	- 0.49	MORN
XP	- 0.36	SEIC
XP	- 0.3	MORN
XP	- 0.29	CMA
ORI	- 0.23	XP
IVZ	- 0.23	XP

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	1.04	(0.12)	0.00	(0.12)	0.00	0.00	2.00	(2.40)	6.06
SEIC	0.95	(0.08)	(0.05)	0.02	1.31	(0.93)	1.60	(1.71)	5.65
JEF	1.89	0.08	0.06	0.12	2.79	(1.82)	4.52	(4.72)	16.21
CMA	1.16	0.06	0.06	0.12	1.64	(1.28)	2.60	(1.66)	8.80
XP	1.93	(0.01)	0.01	0.07	2.95	(1.79)	4.64	(4.83)	15.41
IVZ	1.45	0.14	0.09	0.16	1.89	(1.51)	3.36	(2.74)	8.27
ORI	1.12	0.04	(0.02)	0.29	1.54	(1.12)	1.99	(2.87)	5.77
AIZ	0.80	0.09	0.02	0.41	1.17	(0.74)	2.02	(2.00)	5.46
GGAL	3.26	0.66	0.29	0.44	2.04	(4.42)	6.64	(3.97)	43.40
AFG	0.99	(0.15)	0.00	(0.44)	0.00	0.00	1.78	(2.38)	7.00

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