FactSet Research Correlations

FDS Stock

USD 290.88 0.06 0.02%

The current 90-days correlation between FactSet Research Systems and Morningstar is 0.63 (i.e., Poor diversification). The correlation of FactSet Research 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.

FactSet Research Correlation With Market

Modest diversification

The correlation between FactSet Research Systems and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with FactSet Stock

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in FactSet Research Systems. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in services.

Moving against FactSet Stock

0.34	FEMY	Femasys	Pair Corr
0.57	MHTZF	Manhattan Limited	Pair Corr
0.34	CBOE	Cboe Global Markets	Pair Corr

Related Correlations Analysis

	MORN	SEIC	JEF	CMA	XP	IVZ	ORI	AIZ	GGAL	AFG
MORN		0.64	0.39	-0.46	-0.05	-0.3	-0.19	-0.33	-0.73	0.42	MORN
SEIC	0.64		0.72	-0.27	0.03	-0.04	-0.21	-0.12	-0.54	0.56	SEIC
JEF	0.39	0.72		-0.1	0.32	0.24	0.16	0.2	-0.32	0.5	JEF
CMA	-0.46	-0.27	-0.1		-0.3	0.88	0.57	0.7	0.56	-0.22	CMA
XP	-0.05	0.03	0.32	-0.3		-0.16	-0.18	-0.09	0.26	0.1	XP
IVZ	-0.3	-0.04	0.24	0.88	-0.16		0.59	0.73	0.47	-0.05	IVZ
ORI	-0.19	-0.21	0.16	0.57	-0.18	0.59		0.85	0.16	0.33	ORI
AIZ	-0.33	-0.12	0.2	0.7	-0.09	0.73	0.85		0.47	0.35	AIZ
GGAL	-0.73	-0.54	-0.32	0.56	0.26	0.47	0.16	0.47		-0.34	GGAL
AFG	0.42	0.56	0.5	-0.22	0.1	-0.05	0.33	0.35	-0.34		AFG
	MORN	SEIC	JEF	CMA	XP	IVZ	ORI	AIZ	GGAL	AFG

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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

IVZ	+ 0.88	CMA
AIZ	+ 0.85	ORI
AIZ	+ 0.73	IVZ
JEF	+ 0.72	SEIC
AIZ	+ 0.7	CMA
SEIC	+ 0.64	MORN

High negative correlations

GGAL	- 0.73	MORN
GGAL	- 0.54	SEIC
CMA	- 0.46	MORN
AFG	- 0.34	GGAL
AIZ	- 0.33	MORN
GGAL	- 0.32	JEF

Risk-Adjusted Indicators

There is a big difference between FactSet Stock performing well and FactSet Research 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 FactSet Research'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
MORN	1.06	(0.17)	0.00	(0.23)	0.00	0.00	1.82	(2.32)	6.06
SEIC	0.83	(0.11)	0.00	(0.04)	0.00	0.00	1.42	(1.71)	5.01
JEF	2.03	(0.25)	0.00	(0.04)	0.00	0.00	4.52	(4.72)	16.21
CMA	1.25	0.31	0.18	0.28	1.53	(1.50)	2.74	(2.06)	19.74
XP	2.07	(0.34)	0.00	(0.18)	0.00	0.00	3.23	(4.83)	15.41
IVZ	1.32	0.22	0.12	0.20	1.80	(1.41)	3.25	(2.74)	8.27
ORI	1.08	0.22	0.11	1.08	1.33	(1.14)	2.09	(2.43)	7.25
AIZ	0.80	0.20	0.11	0.67	1.10	(0.79)	2.02	(2.02)	5.34
GGAL	4.18	1.20	0.41	0.82	2.50	(5.72)	9.96	(4.72)	43.40
AFG	0.99	(0.03)	(0.04)	(0.01)	1.47	(0.94)	1.78	(2.46)	6.31

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