NTT System Correlations

Stocks . Poland . 
Stock . NTT System SA
NTT Stock   11.40  0.05  0.44%   
The current 90-days correlation between NTT System SA and Bank Polska Kasa is 0.08 (i.e., Significant diversification). The correlation of NTT System 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.

NTT System Correlation With Market

Very poor diversification

The correlation between NTT System SA and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding NTT System SA and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to NTT System could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace NTT System 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 NTT System - 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 NTT System SA to buy it.

Moving together with NTT Stock

  0.81SAN Banco Santander SAPairCorr
  0.82UCG UniCredit SpAPairCorr
  0.77PKN Polski Koncern NaftowyPairCorr
  0.89SPL Santander Bank PolskaPairCorr
  0.81KGH KGHM Polska MiedzPairCorr
  0.85PEO Bank Polska KasaPairCorr
  0.82ART Artifex Mundi SAPairCorr
  0.79PCR PCC Rokita SAPairCorr
  0.94CAR Inter Cars SAPairCorr
  0.83GRX GreenX MetalsPairCorr
  0.95BHW Bank Handlowy wPairCorr
  0.65BKD Baked Games SAPairCorr
  0.93WWL WAWEL SAPairCorr
  0.81MIL Bank Millennium SA Earnings Call This WeekPairCorr
  0.91BNP BNP Paribas BankPairCorr
  0.64KER Kernel Holding SA Earnings Call This WeekPairCorr
  0.91BFT Benefit Systems SAPairCorr
  0.84TEN TEN SQUARE GAMESPairCorr
  0.92SNT Synektik SAPairCorr
  0.68TRR TermorexPairCorr
  0.68IZO Izolacja JarocinPairCorr
  0.74MEG Megaron SAPairCorr
  0.79URT Urteste SAPairCorr
  0.69ALL Ailleron SAPairCorr
  0.7VRC Vercom SAPairCorr
  0.9ENT Enter Air SAPairCorr
  0.86XTB X Trade BrokersPairCorr
  0.74TPE Tauron Polska EnergiaPairCorr
  0.91ATP Atlanta Poland SAPairCorr
  0.76QNT Quantum SoftwarePairCorr
  0.61DEL Delko SAPairCorr

Moving against NTT Stock

  0.59ALE Allegroeu SAPairCorr
  0.54CEZ CEZ asPairCorr
  0.41DNP Dino Polska SAPairCorr

Related Correlations Analysis


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

UCG
+ 0.94
SAN
KGH
+ 0.94
SAN
PEO
+ 0.94
SPL
PEO
+ 0.9
UCG
KGH
+ 0.89
UCG
SPL
+ 0.87
UCG
  

High negative correlations

PEO
- 0.78
ALE
SPL
- 0.67
ALE
ALE
- 0.67
UCG
PKN
- 0.64
CEZ
ALE
- 0.63
SAN
PEO
- 0.62
CEZ

Risk-Adjusted Indicators

There is a big difference between NTT Stock performing well and NTT System 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 NTT System'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SAN  1.12  0.14  0.05  0.44  1.79 
(1.03)
 2.04 
(2.99)
 6.36 
UCG  1.23  0.06  0.04  0.12  1.61 
(1.60)
 2.77 
(4.20)
 11.63 
CEZ  1.22 (0.15) 0.00 (0.98) 0.00 
 0.00 
 2.23 
(2.70)
 12.76 
PKN  1.55  0.14  0.01 (0.16) 1.89 
(1.66)
 3.90 
(2.57)
 12.47 
DNP  1.31 (0.06) 0.00  0.40  0.00 
 0.00 
 3.54 
(2.86)
 8.65 
ALE  1.29 (0.37) 0.00 (0.63) 0.00 
 0.00 
 1.97 
(3.09)
 7.91 
SPL  1.33  0.26  0.12  0.56  1.46 
(1.46)
 2.91 
(2.36)
 9.54 
KGH  2.79  0.72  0.16  10.27  3.53 
(2.99)
 6.23 
(6.46)
 19.08 
PCO  1.32  0.12  0.02 (0.57) 1.58 
(1.40)
 3.22 
(2.62)
 8.42 
PEO  1.23  0.25  0.16  0.90  1.04 
(1.62)
 3.22 
(2.23)
 8.14 

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