WIG 30 Correlations
| WIG30 Index | 2,826 72.52 2.50% |
The current 90-days correlation between WIG 30 and Alior Bank SA is 0.72 (i.e., Poor diversification). The correlation of WIG 30 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.
The ability to find closely correlated positions to WIG 30 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace WIG 30 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 WIG 30 - 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 WIG 30 to buy it.
Moving together with WIG Index
| 0.64 | SPL | Santander Bank Polska | PairCorr |
| 0.65 | PCO | Pepco Group BV | PairCorr |
| 0.77 | PEO | Bank Polska Kasa | PairCorr |
Moving against WIG Index
Related Correlations Analysis
| 0.38 | -0.19 | 0.34 | 0.34 | 0.4 | 0.37 | ALR | ||
| 0.38 | 0.1 | 0.82 | 0.03 | 0.87 | 0.4 | UFG | ||
| -0.19 | 0.1 | -0.02 | -0.15 | 0.11 | -0.2 | QNT | ||
| 0.34 | 0.82 | -0.02 | -0.13 | 0.86 | 0.5 | CRM | ||
| 0.34 | 0.03 | -0.15 | -0.13 | -0.01 | -0.13 | CAR | ||
| 0.4 | 0.87 | 0.11 | 0.86 | -0.01 | 0.61 | MOV | ||
| 0.37 | 0.4 | -0.2 | 0.5 | -0.13 | 0.61 | SWM | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between WIG Index performing well and WIG 30 Index 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 WIG 30'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ALR | 1.69 | 0.01 | (0.03) | 1.24 | 1.90 | 4.50 | 12.06 | |||
| UFG | 1.77 | (0.43) | 0.00 | (0.70) | 0.00 | 3.82 | 15.80 | |||
| QNT | 2.15 | (0.09) | 0.00 | (0.10) | 0.00 | 8.70 | 28.01 | |||
| CRM | 1.67 | (0.50) | 0.00 | (0.94) | 0.00 | 4.08 | 10.51 | |||
| CAR | 1.40 | 0.01 | (0.02) | 0.11 | 1.53 | 3.58 | 7.81 | |||
| MOV | 1.41 | (0.70) | 0.00 | 4.18 | 0.00 | 1.99 | 11.07 | |||
| SWM | 1.74 | (0.17) | 0.00 | (0.12) | 0.00 | 3.56 | 9.93 |
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WIG 30 Distribution of Returns
Predicted Return Density |
| Returns |
What Drives a WIG 30 Price Volatility?
Several factors can influence a index's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.WIG 30 Against Global Markets
| CROBEX | 0.48 | |||||
| TWII | 0.1 | |||||
| ISEQ 20 | 0.14 | |||||
| GDAXI | 0.33 | |||||
| NYA | 0.56 | |||||
| PSI 20 | 0.80 | |||||
| Budapest | 1.12 | |||||
| IDX 30 | 2.40 | |||||
| WIG 30 | 2.50 |
