FactSet Research Correlations

FDS Stock

USD 432.32 4.25 0.97%

The current 90-days correlation between FactSet Research Systems and Dun Bradstreet Holdings is 0.11 (i.e., Average 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

Very weak diversification

The correlation between FactSet Research Systems and DJI is 0.5 (i.e., Very weak 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 unemployment.

Moving together with FactSet Stock

0.61	MORN	Morningstar Earnings Call This Week	Pair Corr
0.62	MSCI	MSCI Inc Earnings Call This Week	Pair Corr

Moving against FactSet Stock

0.47

FG Annuities Life

Pair Corr

Related Correlations Analysis

	DNB	MCO	MSCI	ICE	SPGI	NDAQ	CME
DNB		0.63	0.37	0.66	0.61	0.71	0.28	DNB
MCO	0.63		0.88	0.93	0.95	0.92	0.54	MCO
MSCI	0.37	0.88		0.74	0.82	0.76	0.48	MSCI
ICE	0.66	0.93	0.74		0.91	0.93	0.66	ICE
SPGI	0.61	0.95	0.82	0.91		0.87	0.61	SPGI
NDAQ	0.71	0.92	0.76	0.93	0.87		0.4	NDAQ
CME	0.28	0.54	0.48	0.66	0.61	0.4		CME
	DNB	MCO	MSCI	ICE	SPGI	NDAQ	CME

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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
DNB	0.26	0.03	(0.13)	0.32	0.32	(0.36)	0.55	(0.44)	6.17
MCO	1.02	0.04	0.07	0.16	0.93	(1.26)	2.78	(1.90)	6.93
MSCI	0.91	(0.04)	(0.05)	0.08	1.12	(0.89)	1.90	(2.24)	6.31
ICE	0.73	0.13	0.06	0.42	0.70	(0.82)	1.69	(1.15)	6.39
SPGI	0.83	0.19	0.05	(7.72)	0.83	(0.92)	2.09	(1.48)	6.30
NDAQ	0.74	0.20	0.16	0.38	0.69	(0.82)	1.91	(1.46)	5.03
CME	0.85	0.08	(0.04)	(0.77)	1.34	(0.81)	1.73	(1.70)	6.89

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