Federal Signal Correlations

FSS Stock

USD 95.87 1.05 1.11%

The current 90-days correlation between Federal Signal and Zurn Elkay Water is 0.5 (i.e., Very weak diversification). The correlation of Federal Signal 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.

Federal Signal Correlation With Market

Poor diversification

The correlation between Federal Signal and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Federal Signal and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Federal Signal. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in state.

For more information on how to buy Federal Stock please use our How to Invest in Federal Signal guide.

Moving together with Federal Stock

0.7

CECO

CECO Environmental Corp

Pair Corr

Moving against Federal Stock

0.42

SCWO

374Water Common Stock

Pair Corr

Related Correlations Analysis

	ERII	CECO	SCWO	COSLF	ZWS	FTEK	MKUL
ERII		-0.39	0.42	0.0	0.54	0.07	0.6	ERII
CECO	-0.39		-0.4	0.0	-0.09	0.38	-0.43	CECO
SCWO	0.42	-0.4		0.0	0.2	-0.07	0.43	SCWO
COSLF	0.0	0.0	0.0		0.0	0.0	0.0	COSLF
ZWS	0.54	-0.09	0.2	0.0		0.47	0.79	ZWS
FTEK	0.07	0.38	-0.07	0.0	0.47		0.28	FTEK
MKUL	0.6	-0.43	0.43	0.0	0.79	0.28		MKUL
	ERII	CECO	SCWO	COSLF	ZWS	FTEK	MKUL

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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

MKUL	+ 0.79	ZWS
MKUL	+ 0.6	ERII
ZWS	+ 0.54	ERII
FTEK	+ 0.47	ZWS
MKUL	+ 0.43	SCWO
SCWO	+ 0.42	ERII

High negative correlations

MKUL	- 0.43	CECO
SCWO	- 0.4	CECO
CECO	- 0.39	ERII
ZWS	- 0.09	CECO
FTEK	- 0.07	SCWO
MKUL	- 0.0	COSLF

Risk-Adjusted Indicators

There is a big difference between Federal Stock performing well and Federal Signal 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 Federal Signal'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
ERII	2.08	(0.28)	0.00	(0.09)	0.00	0.00	4.14	(4.87)	27.67
CECO	2.46	(0.02)	0.04	0.11	3.21	(2.79)	4.65	(3.36)	18.98
SCWO	4.55	(0.23)	0.00	0.03	6.07	(5.11)	9.38	(7.23)	38.03
COSLF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ZWS	1.24	0.19	0.19	0.25	1.01	(1.45)	2.83	(1.93)	9.65
FTEK	1.55	0.09	0.00	0.46	1.71	(2.46)	3.88	(2.91)	8.97
MKUL	5.20	0.70	0.12	1.37	5.02	(6.31)	12.15	(8.91)	36.49

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