Processing
Collecting data for PM,BTI,AOI,RAI,MO,VGR,UVV,LO

An investor can reduce portfolio risk simply by holding instruments which are not perfectly correlated. In other words, investors can reduce their exposure to individual asset risk by holding a diversified portfolio of assets. Diversification will allow for the same portfolio return with reduced risk.

About correlation table

Correlation table is a two-dimensional matrix that shows correlation coefficient between pairs of securities. The cells in the table are color-coded to highlight significantly positive and negative relationships.

About correlation cloud

Correlation cloud is a flat representation of correlation coefficients between pairs of securities. The links in the cloud are color-coded to highlight significantly positive and negative relationships.

To create correlation table or cloud specify valid comma-separated symbols and hit Build It button.

Please note, the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) have recently merged. Although Macroaxis has implemented solutions to handle this transition gracefully, you may still find some securities that may not be fully transferred from one exchange to another.

Help

Correlation Analysis

View All Portfolios

More Actions
- Select Assests
- Optimize Portfolio
- Suggest Portfolio
- Backtest Watchlist
- Analyze Correlations
- View Transactions
- Check Volatilities
- Import Equities
- Search Equities

Investment horizon:

30 Days Login to change

Generate output as Table Cloud

Specify valid comma-separated symbols | Check world markets correlations | Check portfolio equities correlations

Build Correlation

	PM	BTI	AOI	RAI	MO	VGR	UVV	LO
PM		0.41	0.26	0.65	0.67	0.29	0.26	0.43
BTI	0.41		0.3	0.37	0.43	0.11	0.3	0.1
AOI	0.26	0.3		0.33	0.19	0.58	0.67	0.3
RAI	0.65	0.37	0.33		0.88	0.5	0.62	0.45
MO	0.67	0.43	0.19	0.88		0.53	0.55	0.51
VGR	0.29	0.11	0.58	0.5	0.53		0.72	0.47
UVV	0.26	0.3	0.67	0.62	0.55	0.72		0.42
LO	0.43	0.1	0.3	0.45	0.51	0.47	0.42

Click cells to compare fundamentals

Compare Fundamentals

Check Volatility

Backtest As Portfolio

Correlation Matchups

High positive correlations

MO	+ 0.88	RAI
UVV	+ 0.72	VGR
MO	+ 0.67	PM
UVV	+ 0.67	AOI
RAI	+ 0.65	PM
UVV	+ 0.62	RAI
VGR	+ 0.58	AOI
UVV	+ 0.55	MO

Insignificant Correlation

LO	+ 0.1	BTI
VGR	+ 0.11	BTI
MO	+ 0.19	AOI
UVV	+ 0.26	PM

High negative correlations

Not Found

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
PM	0.66	(0.05)	(0.24)	0.02	0.73	(0.25)	(0.67)	0.98	(0.89)	2.30	Backtest
BTI	0.59	0.10	(0.03)	0.45	0.61	(0.03)	(0.68)	1.56	(0.73)	3.56	Backtest
AOI	1.60	(0.53)	(0.09)	(0.02)	2.73	(0.11)	(1.71)	2.75	(4.27)	10.09	Backtest
RAI	0.67	0.10	0.16	0.30	0.00	0.10	(0.93)	1.40	(0.63)	2.55	Backtest
MO	0.64	0.03	(0.05)	0.25	0.42	(0.04)	(0.81)	1.15	(1.12)	2.67	Backtest
VGR	0.65	(0.23)	(0.10)	0.01	1.51	(0.16)	(0.58)	1.12	(0.69)	4.85	Backtest
UVV	0.98	(0.14)	0.03	0.12	1.11	0.03	(1.13)	1.86	(2.34)	5.15	Backtest
LO	0.55	(0.05)	(0.22)	0.08	0.63	(0.22)	(0.60)	1.33	(1.06)	2.47	Backtest

Content

Thanks for checking out Macroaxis

Tell us what you like and what you don't like. We promise we'll not only listen but write you back

Contact Us

Macroaxis is user-driven community of investors. We appreciate any feedback or comment you can provide. Please fill out our quick survey to help us provide your with a better service and user experience

Fill Out Quick Survey

Most of the functionality on our site is free to use. However we do provide premium service to sophisticated investors. Our premium subscription will give you unprecedented capabilities to optimize your portfolios using robust financial analysis toolkit, fast mean-variance optimization engine, and proven portfolio theory

Go Premium