Comparative Equity Analysis
Analyzing your traded assets competition allows you to expand the diversification possibilities of your existing portfolios and to get a better perspective on locking in new positions. Investors sometimes prefer comparable analysis of your traded assets to its intrinsic valuation because they are able to contrast its competitors on a relative basis. Check out your portfolio center.
You can use the Comparative Equity Analysis module to analyze the advantages of investing in your portfolio's related equities across multiple sectors and thematic ideas. Please use the input box below to enter symbols for particular investments you would like to analyze. With the equity comparison module, you can estimate the relative effect of your traded assets competition on your existing holdings.
Correlation Matrix
Typically, diversification allows investors to combine positions across different asset classes to reduce overall portfolio risk. Correlation between positions in your portfolio represents the degree of relationship between the price movements of corresponding instruments. A correlation of about +1.0 implies that the prices move in tandem. A correlation of -1.0 means that prices move in opposite directions. A correlation of close to zero suggests that the price movements of assets are uncorrelated.
Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
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Risk-Adjusted Indicators
There is a big difference between a company's stock performing well and the company itself 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 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 | ||
---|---|---|---|---|---|---|---|---|---|---|
AAL | 1.72 | 0.02 | 0.03 | 0.08 | 2.25 | 4.59 | 16.82 | |||
AA | 2.36 | 0.27 | 0.12 | 0.19 | 2.70 | 5.35 | 15.82 | |||
AAPL | 1.01 | (0.19) | 0.00 | (0.28) | 0.00 | 1.56 | 7.34 | |||
BBY | 1.31 | 0.00 | 0.03 | 0.07 | 1.63 | 3.01 | 7.78 | |||
C | 1.02 | 0.12 | 0.12 | 0.16 | 0.99 | 2.28 | 8.13 | |||
S | 2.46 | (0.46) | 0.00 | (0.09) | 0.00 | 4.84 | 23.63 | |||
CVS | 1.06 | (0.18) | 0.00 | (0.23) | 0.00 | 1.65 | 10.32 | |||
CVX | 0.75 | 0.15 | 0.10 | 0.40 | 0.78 | 1.99 | 5.97 | |||
HD | 0.96 | (0.19) | 0.00 | (0.06) | 0.00 | 1.98 | 6.87 | |||
IBM | 1.10 | 0.04 | 0.07 | 0.10 | 1.03 | 2.58 | 11.73 |
Competitive Analysis
Better Than Average | Worse Than Peers | View Performance Chart |
Market Neutrality
One of the main advantages of trading using market-neutral strategies is that every trade hedges away some risk. Because there are two separate transactions required, even if one position performs unexpectedly, the other equity can make up some of the losses.
Peer indicators
Risk-Adjusted Indicators
There is a big difference between a company's stock performing well and the company itself 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 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 | ||
---|---|---|---|---|---|---|---|---|---|---|
AAL | 1.72 | 0.02 | 0.03 | 0.08 | 2.25 | 4.59 | 16.82 | |||
AA | 2.36 | 0.27 | 0.12 | 0.19 | 2.70 | 5.35 | 15.82 | |||
AAPL | 1.01 | (0.19) | 0.00 | (0.28) | 0.00 | 1.56 | 7.34 | |||
BBY | 1.31 | 0.00 | 0.03 | 0.07 | 1.63 | 3.01 | 7.78 | |||
C | 1.02 | 0.12 | 0.12 | 0.16 | 0.99 | 2.28 | 8.13 | |||
S | 2.46 | (0.46) | 0.00 | (0.09) | 0.00 | 4.84 | 23.63 | |||
CVS | 1.06 | (0.18) | 0.00 | (0.23) | 0.00 | 1.65 | 10.32 | |||
CVX | 0.75 | 0.15 | 0.10 | 0.40 | 0.78 | 1.99 | 5.97 | |||
HD | 0.96 | (0.19) | 0.00 | (0.06) | 0.00 | 1.98 | 6.87 | |||
IBM | 1.10 | 0.04 | 0.07 | 0.10 | 1.03 | 2.58 | 11.73 |
Please note, the success of pairs trading depends heavily on the modeling and forecasting of the spread time series. However, in general, pair trading minimizes risk from directional movements in the market unless the strategy's equities are perfectly correlated. For example, if an entire industry or sector drops because of unexpected headlines, the first equity's short position will appreciate offsetting losses from the drop in the long position's value.
Five steps to successful analysis of competition
Generate Optimal Portfolios
The classical approach to portfolio optimization is known as Modern Portfolio Theory (MPT). It involves categorizing the investment universe based on risk (standard deviation) and return, and then choosing the mix of investments that achieves the desired risk-versus-return tradeoff. Portfolio optimization can also be thought of as a risk-management strategy as every type of equity has a distinct return and risk characteristics as well as different systemic risks, which describes how they respond to the market at large. Macroaxis enables investors to optimize portfolios that have a mix of equities (such as stocks, funds, or ETFs) and cryptocurrencies (such as Bitcoin, Ethereum or Monero)
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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