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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.
 

Correlation Analysis

Investment horizon:  
  30 Days    Login   to change
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Correlation Matchups

High positive correlations

   

Insignificant Correlation

   

High negative correlations

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
 0.82 (0.21) 0.00 (1.38) 0.00 (0.17) 0.00  1.42 (1.85) 2.66 
 0.96 (0.03) 0.00 (0.18) 0.00 (0.0043) 0.00  2.31 (1.33) 5.13 
 1.58 (0.09) 0.00 (0.11) 0.00 (0.04) 0.00  4.42 (2.39) 12.92 
 0.73 (0.15) 0.00  0.90  0.00 (0.12) 0.00  1.37 (1.55) 2.92 
 0.84  0.10  0.00 (0.95) 0.00  0.13  0.00  1.57 (1.43) 4.60 
 0.67 (0.09) 0.00  0.99  0.00 (0.06) 0.00  1.40 (1.67) 3.34 
 2.01  0.39  0.00  0.28  0.00  0.13  0.00  3.92 (2.40) 14.45 
 0.61  0.25  0.00 (7.37) 0.00  0.39  0.00  1.53 (0.75) 2.54 
 0.82  0.14  0.00 (0.30) 0.00  0.15  0.00  1.30 (1.20) 6.26 
 0.63 (0.11) 0.00  0.37  0.00 (0.08) 0.00  1.12 (1.63) 4.07