Pair Correlation Between American Airlines and Sprint

This module allows you to analyze existing cross correlation between American Airlines Group Inc and Sprint Corporation. You can compare the effects of market volatilities on American Airlines and Sprint 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 Sprint. See also your portfolio center. Please also check ongoing floating volatility patterns of American Airlines and Sprint.
Investment Horizon     30 Days    Login   to change
 American Airlines Group Inc.  vs   Sprint Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, American Airlines Group Inc is expected to under-perform the Sprint. But the stock apears to be less risky and, when comparing its historical volatility, American Airlines Group Inc is 1.2 times less risky than Sprint. The stock trades about -0.14 of its potential returns per unit of risk. The Sprint Corporation is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  844.00  in Sprint Corporation on December 19, 2016 and sell it today you would earn a total of  21.00  from holding Sprint Corporation or generate 2.49% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between American Airlines and Sprint
0.12

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding American Airlines Group Inc. and Sprint Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Sprint 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 Sprint. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sprint has no effect on the direction of American Airlines i.e. American Airlines and Sprint 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 
 1.25  0.16  0.09 (0.21)  1.75  0.11 (1.33)  2.43 (2.49)  6.85 

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.

Sprint

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sprint Corporation are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.