AB Active Correlations

SDFI Etf

35.79 0.01 0.03%

The current 90-days correlation between AB Active ETFs and Janus Detroit Street is 0.36 (i.e., Weak diversification). The correlation of AB Active 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.

AB Active Correlation With Market

Good diversification

The correlation between AB Active ETFs and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AB Active ETFs and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with SDFI Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in AB Active ETFs. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with SDFI Etf

0.98	BSV	Vanguard Short Term Sell-off Trend	Pair Corr
0.98	IGSB	iShares 1 5	Pair Corr
0.76	SPSB	SPDR Barclays Short	Pair Corr
0.99	ISTB	iShares Core 1	Pair Corr
0.76	SLQD	iShares 0 5	Pair Corr
0.94	GVI	iShares Intermediate	Pair Corr
0.98	LDUR	PIMCO Enhanced Low	Pair Corr
0.98	SUSB	iShares ESG 1	Pair Corr
0.69	VTV	Vanguard Value Index	Pair Corr
0.68	CPSL	Calamos Laddered	Pair Corr
0.7	PJFM	PGIM ETF Trust	Pair Corr
0.77	DDFO	Innovator Equity Dual	Pair Corr
0.64	DFCF	Dimensional ETF Trust	Pair Corr
0.94	CALI	iShares Short Term	Pair Corr
0.71	JNJ	Johnson Johnson	Pair Corr
0.66	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.65	MCD	McDonalds	Pair Corr
0.7	AA	Alcoa Corp	Pair Corr

Moving against SDFI Etf

0.68	MSFT	Microsoft	Pair Corr
0.59	HPQ	HP Inc	Pair Corr
0.53	HD	Home Depot	Pair Corr
0.44	PG	Procter Gamble	Pair Corr
0.33	TSXU	Direxion Shares ETF	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.67	0.45	-0.54	0.38	-0.39	0.24	-0.23	-0.42	-0.58	META
MSFT	0.67		0.85	-0.54	0.42	-0.07	-0.02	-0.42	-0.81	-0.64	MSFT
UBER	0.45	0.85		-0.58	0.52	0.09	-0.25	-0.47	-0.85	-0.67	UBER
F	-0.54	-0.54	-0.58		-0.64	0.28	0.34	0.54	0.63	0.77	F
T	0.38	0.42	0.52	-0.64		0.03	-0.63	-0.47	-0.38	-0.58	T
A	-0.39	-0.07	0.09	0.28	0.03		-0.42	-0.34	0.02	0.04	A
CRM	0.24	-0.02	-0.25	0.34	-0.63	-0.42		0.49	0.2	0.3	CRM
JPM	-0.23	-0.42	-0.47	0.54	-0.47	-0.34	0.49		0.57	0.56	JPM
MRK	-0.42	-0.81	-0.85	0.63	-0.38	0.02	0.2	0.57		0.76	MRK
XOM	-0.58	-0.64	-0.67	0.77	-0.58	0.04	0.3	0.56	0.76		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

UBER	+ 0.85	MSFT
XOM	+ 0.77	F
XOM	+ 0.76	MRK
MSFT	+ 0.67	META
MRK	+ 0.63	F
MRK	+ 0.57	JPM

High negative correlations

MRK	- 0.85	UBER
MRK	- 0.81	MSFT
XOM	- 0.67	UBER
T	- 0.64	F
XOM	- 0.64	MSFT
CRM	- 0.63	T

AB Active Competition Risk-Adjusted Indicators

There is a big difference between SDFI Etf performing well and AB Active 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 AB Active'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
META	1.39	(0.22)	0.00	(0.19)	0.00	0.00	2.30	(2.72)	13.52
MSFT	0.92	(0.17)	0.00	(0.25)	0.00	0.00	1.78	(2.50)	5.08
UBER	1.45	(0.30)	0.00	(0.23)	0.00	0.00	2.60	(3.82)	10.51
F	1.48	0.12	0.08	0.14	1.67	(1.63)	3.38	(2.63)	16.30
T	0.96	(0.21)	0.00	(0.86)	0.00	0.00	1.61	(2.18)	5.75
A	1.17	0.05	0.04	0.10	1.25	(1.28)	2.12	(2.21)	11.03
CRM	1.51	0.06	0.03	0.13	1.97	(1.51)	3.66	(2.92)	9.91
JPM	1.08	(0.02)	0.00	0.04	1.41	(1.11)	2.00	(1.91)	7.02
MRK	1.32	0.33	0.25	0.46	1.03	(1.70)	3.84	(1.98)	11.45
XOM	0.91	0.12	0.08	0.52	0.82	(1.01)	1.96	(1.41)	4.99

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