Source Capital Correlations

SOR Stock

USD 48.35 0.11 0.23%

The current 90-days correlation between Source Capital Closed and Saratoga Investment Corp is 0.15 (i.e., Average diversification). The correlation of Source Capital 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.

Source Capital Correlation With Market

Poor diversification

The correlation between Source Capital Closed and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Source Capital Closed and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Source Stock

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Source Capital Closed. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with Source Stock

0.72	FINS	Angel Oak Financial	Pair Corr
0.67	BGR	BlackRock Energy	Pair Corr
0.7	HQH	Tekla Healthcare Inv	Pair Corr
0.75	AVR	Avaron Mining Corp	Pair Corr
0.81	NREF	Nexpoint Real Estate	Pair Corr
0.63	FGEN	Foresight Environmental	Pair Corr
0.75	OCCI	OFS Credit	Pair Corr
0.71	BRWM	Blackrock World Mining	Pair Corr
0.76	MMP-UN	Precious Metals And	Pair Corr
0.61	BANX	Arrowmark Financial Corp	Pair Corr

Moving against Source Stock

0.73	LTI	Lindsell Train Investment	Pair Corr
0.72	PNNT	PennantPark Investment	Pair Corr
0.66	PBCRY	Bank Central Asia	Pair Corr
0.47	BKRKY	Bank Rakyat	Pair Corr

Related Correlations Analysis

	SAR	DHIL	SCM	PNNT	MCI	PSBD	GLAD	LEO	EIC	GIG
SAR		0.75	0.92	-0.57	-0.22	0.39	0.85	0.7	-0.61	-0.33	SAR
DHIL	0.75		0.78	-0.28	-0.5	0.26	0.45	0.75	-0.37	-0.12	DHIL
SCM	0.92	0.78		-0.48	-0.33	0.46	0.78	0.83	-0.56	-0.25	SCM
PNNT	-0.57	-0.28	-0.48		0.06	0.02	-0.74	-0.1	0.71	0.6	PNNT
MCI	-0.22	-0.5	-0.33	0.06		-0.44	-0.12	-0.31	0.08	-0.06	MCI
PSBD	0.39	0.26	0.46	0.02	-0.44		0.25	0.45	0.15	0.36	PSBD
GLAD	0.85	0.45	0.78	-0.74	-0.12	0.25		0.44	-0.78	-0.51	GLAD
LEO	0.7	0.75	0.83	-0.1	-0.31	0.45	0.44		-0.32	0.02	LEO
EIC	-0.61	-0.37	-0.56	0.71	0.08	0.15	-0.78	-0.32		0.81	EIC
GIG	-0.33	-0.12	-0.25	0.6	-0.06	0.36	-0.51	0.02	0.81		GIG
	SAR	DHIL	SCM	PNNT	MCI	PSBD	GLAD	LEO	EIC	GIG

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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

SCM	+ 0.92	SAR
GLAD	+ 0.85	SAR
LEO	+ 0.83	SCM
GIG	+ 0.81	EIC
SCM	+ 0.78	DHIL
GLAD	+ 0.78	SCM

High negative correlations

EIC	- 0.78	GLAD
GLAD	- 0.74	PNNT
EIC	- 0.61	SAR
PNNT	- 0.57	SAR
EIC	- 0.56	SCM
GIG	- 0.51	GLAD

Risk-Adjusted Indicators

There is a big difference between Source Stock performing well and Source Capital 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 Source Capital'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
SAR	0.77	0.06	0.02	0.18	0.88	(0.84)	1.58	(1.79)	4.25
DHIL	1.54	0.37	0.32	0.25	0.75	(1.90)	1.64	(1.95)	45.03
SCM	1.02	0.07	0.04	0.16	1.18	(1.11)	2.04	(1.71)	6.78
PNNT	1.10	(0.13)	0.00	(0.25)	0.00	0.00	2.16	(2.42)	7.91
MCI	1.05	0.10	0.02	(1.73)	1.14	(1.22)	2.28	(2.31)	8.35
PSBD	0.77	(0.08)	0.00	(0.12)	0.00	0.00	1.57	(1.42)	5.35
GLAD	0.94	0.06	0.02	0.18	1.13	(0.99)	2.09	(1.72)	9.50
LEO	0.34	0.01	(0.10)	6.00	0.37	(0.43)	0.65	(0.65)	2.54
EIC	0.83	(0.16)	0.00	(0.20)	0.00	0.00	1.37	(2.07)	5.65
GIG	0.17	(0.07)	0.00	(0.61)	0.00	0.00	0.19	(0.37)	1.12

Source Capital Corporate Management

Karen Richards	Chief Compliance Officer	Profile
CFA CFA	Portfolio Manager	Profile
Francine Hayes	Secretary	Profile
Steven CFA	Portfolio Manager	Profile
James CPA	Chief Partner	Profile

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