Parametric Equity Correlations

PEPS Etf

29.86 0.29 0.96%

The current 90-days correlation between Parametric Equity Plus and Exchange Listed Funds is 0.7 (i.e., Poor 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

Almost no diversification

The correlation between Parametric Equity Plus and DJI is 0.92 (i.e., Almost no 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 board of governors.

Moving together with Parametric Etf

0.84	JEPI	JPMorgan Equity Premium	Pair Corr
0.79	XYLD	Global X SP	Pair Corr
0.72	DIVO	Amplify CWP Enhanced	Pair Corr
0.87	RYLD	Global X Russell	Pair Corr
0.88	JEPQ	JPMorgan Nasdaq Equity	Pair Corr
0.73	KNG	FT Cboe Vest Low Volatility	Pair Corr
0.82	BUYW	Main Buywrite ETF	Pair Corr
0.8	IDME	International Drawdown	Pair Corr
0.9	CPST	Calamos ETF Trust	Pair Corr
0.94	ITDD	iShares Trust	Pair Corr
0.77	AA	Alcoa Corp	Pair Corr
0.78	CAT	Caterpillar	Pair Corr
0.61	MRK	Merck Company Earnings Call Today	Pair Corr
0.66	INTC	Intel Aggressive Push	Pair Corr

Moving against Parametric Etf

0.68	MPAY	Exchange Traded Concepts	Pair Corr
0.43	T	ATT Inc Earnings Call Tomorrow	Pair Corr
0.34	MMM	3M Company	Pair Corr
0.45	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	JANZ	SPIN	AUGZ	JUNT	XTAP	XNOV	JUSA	SNAV	EAOR	SHUS
JANZ		0.82	0.99	0.87	0.8	0.69	0.99	0.86	0.83	0.8	JANZ
SPIN	0.82		0.84	0.87	0.83	0.75	0.86	0.96	0.98	0.83	SPIN
AUGZ	0.99	0.84		0.89	0.82	0.71	0.99	0.87	0.85	0.81	AUGZ
JUNT	0.87	0.87	0.89		0.99	0.93	0.92	0.85	0.9	0.96	JUNT
XTAP	0.8	0.83	0.82	0.99		0.96	0.86	0.8	0.86	0.96	XTAP
XNOV	0.69	0.75	0.71	0.93	0.96		0.77	0.69	0.76	0.91	XNOV
JUSA	0.99	0.86	0.99	0.92	0.86	0.77		0.87	0.87	0.85	JUSA
SNAV	0.86	0.96	0.87	0.85	0.8	0.69	0.87		0.96	0.81	SNAV
EAOR	0.83	0.98	0.85	0.9	0.86	0.76	0.87	0.96		0.88	EAOR
SHUS	0.8	0.83	0.81	0.96	0.96	0.91	0.85	0.81	0.88		SHUS
	JANZ	SPIN	AUGZ	JUNT	XTAP	XNOV	JUSA	SNAV	EAOR	SHUS

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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
JANZ	0.46	(0.03)	(0.06)	0.00	0.64	(0.46)	0.83	(1.20)	2.91
SPIN	0.52	0.00	(0.02)	0.00	0.77	(0.50)	1.07	(1.31)	4.09
AUGZ	0.43	(0.03)	(0.07)	0.00	0.63	(0.40)	0.71	(0.93)	2.96
JUNT	0.21	0.01	(0.06)	0.08	0.25	(0.21)	0.48	(0.45)	1.70
XTAP	0.14	0.02	(0.07)	0.13	0.09	(0.15)	0.39	(0.42)	1.12
XNOV	0.13	0.04	(0.01)	0.26	0.00	(0.15)	0.35	(0.24)	1.38
JUSA	0.52	(0.02)	(0.03)	0.02	0.80	(0.46)	1.00	(1.16)	3.72
SNAV	0.52	0.00	(0.05)	0.06	0.76	(0.49)	1.21	(1.37)	3.08
EAOR	0.35	0.01	(0.05)	0.20	0.47	(0.34)	0.74	(0.79)	2.17
SHUS	0.50	0.02	0.02	0.08	0.52	(0.53)	1.27	(1.03)	2.86

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