Pair Correlation Between American Airlines and International Business

This module allows you to analyze existing cross correlation between American Airlines Group Inc and International Business Machines Corporation. You can compare the effects of market volatilities on American Airlines and International Business and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in American Airlines with a short position of International Business. See also your portfolio center. Please also check ongoing floating volatility patterns of American Airlines and International Business.
Investment Horizon     30 Days    Login   to change
 American Airlines Group Inc.  vs   International Business Machine
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, American Airlines Group Inc is expected to under-perform the International Business. In addition to that, American Airlines is 2.0 times more volatile than International Business Machines Corporation. It trades about -0.14 of its total potential returns per unit of risk. International Business Machines Corporation is currently generating about 0.06 per unit of volatility. If you would invest  16,668  in International Business Machines Corporation on December 19, 2016 and sell it today you would earn a total of  121.00  from holding International Business Machines Corporation or generate 0.73% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between American Airlines and International Business
-0.12

Parameters

Time Period1 Month [change]
DirectionNegative AAL Moved Down vs IBM
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding American Airlines Group Inc. and International Business Machine in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on International Business and American Airlines is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on American Airlines Group Inc are associated (or correlated) with International Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Business has no effect on the direction of American Airlines i.e. American Airlines and International Business go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.16 (0.12)  0.00  0.15  0.00 (0.07)  0.00  1.99 (1.89)  4.08 
 0.50 (0.02)  0.00 (0.06)  0.00 (0.02)  0.00  1.24 (1.11)  2.51 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

American Airlines Group

  

Risk-adjusted Performance

Over the last 30 days American Airlines Group Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

International Business

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in International Business Machines Corporation are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.