Parametric Equity Correlations

PEPS Etf

29.66 0.13 0.44%

The current 90-days correlation between Parametric Equity Plus and JP Morgan Exchange Traded is 0.94 (i.e., Almost no diversification). The correlation of Parametric Equity 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.

Parametric Equity Correlation With Market

Poor diversification

The correlation between Parametric Equity Plus and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Equity Plus and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Parametric Etf

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Parametric Equity Plus. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Parametric Etf

0.78	XYLD	Global X SP	Pair Corr
0.67	RYLD	Global X Russell	Pair Corr
0.97	JEPQ	JPMorgan Nasdaq Equity	Pair Corr
0.79	BUYW	Main Buywrite ETF	Pair Corr
0.61	GDXU	MicroSectors Gold Miners	Pair Corr
0.75	USD	ProShares Ultra Semi	Pair Corr
0.62	JNUG	Direxion Daily Junior	Pair Corr
0.61	HCMAX	THE HILLMAN FUND	Pair Corr
0.83	RSST	Return Stacked Stocks	Pair Corr
0.78	QTAP	Innovator Growth 100	Pair Corr
0.65	DFE	WisdomTree Europe	Pair Corr
0.81	PAUG	Innovator Equity Power	Pair Corr
0.7	EAFG	Pacer Funds Trust	Pair Corr
0.61	IJS	iShares SP Small	Pair Corr
0.61	ILOW	AB Active ETFs	Pair Corr

Related Correlations Analysis

	PSCX	EGGS	RETL	NITE	NXTI	HEQQ	MFUL	PWS	JFLI
PSCX		-0.21	0.7	0.44	-0.19	0.64	0.78	0.75	0.83	PSCX
EGGS	-0.21		-0.02	0.43	0.72	0.39	-0.45	-0.11	-0.42	EGGS
RETL	0.7	-0.02		0.68	0.23	0.52	0.34	0.5	0.38	RETL
NITE	0.44	0.43	0.68		0.7	0.72	-0.14	0.26	-0.06	NITE
NXTI	-0.19	0.72	0.23	0.7		0.35	-0.7	-0.29	-0.65	NXTI
HEQQ	0.64	0.39	0.52	0.72	0.35		0.26	0.56	0.34	HEQQ
MFUL	0.78	-0.45	0.34	-0.14	-0.7	0.26		0.69	0.99	MFUL
PWS	0.75	-0.11	0.5	0.26	-0.29	0.56	0.69		0.75	PWS
JFLI	0.83	-0.42	0.38	-0.06	-0.65	0.34	0.99	0.75		JFLI
	PSCX	EGGS	RETL	NITE	NXTI	HEQQ	MFUL	PWS	JFLI

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

JFLI	+ 0.99	MFUL
JFLI	+ 0.83	PSCX
MFUL	+ 0.78	PSCX
PWS	+ 0.75	PSCX
JFLI	+ 0.75	PWS
NXTI	+ 0.72	EGGS

High negative correlations

MFUL	- 0.7	NXTI
JFLI	- 0.65	NXTI
MFUL	- 0.45	EGGS
JFLI	- 0.42	EGGS
PWS	- 0.29	NXTI
EGGS	- 0.21	PSCX

Parametric Equity Constituents Risk-Adjusted Indicators

There is a big difference between Parametric Etf performing well and Parametric Equity ETF 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 Parametric Equity'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
PSCX	0.22	0.01	(0.12)	0.13	0.16	(0.25)	0.45	(0.42)	1.82
EGGS	1.00	(0.05)	(0.04)	0.01	1.77	(0.91)	2.20	(2.54)	8.39
RETL	2.74	0.10	0.10	0.11	2.54	(3.59)	5.51	(5.50)	20.07
NITE	0.92	(0.01)	(0.01)	0.07	1.24	(0.88)	2.07	(2.20)	6.28
NXTI	0.89	(0.10)	0.00	(0.01)	0.00	0.00	1.32	(2.01)	6.32
HEQQ	0.49	(0.01)	(0.08)	0.06	0.64	(0.47)	0.92	(1.22)	3.04
MFUL	0.17	0.02	(0.14)	0.18	0.00	(0.19)	0.37	(0.32)	1.24
PWS	0.54	0.01	(0.03)	0.09	0.60	(0.59)	1.41	(1.30)	3.89
JFLI	0.36	0.07	0.05	0.22	0.22	(0.41)	0.74	(0.81)	2.63

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