Pair Correlation Between Apple and CVS Health

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

Pair Volatility

Given the investment horizon of 30 days, Apple is expected to generate 1.73 times less return on investment than CVS Health. But when comparing it to its historical volatility, Apple Inc is 1.91 times less risky than CVS Health. It trades about 0.29 of its potential returns per unit of risk. CVS Health Corporation is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest  7,993  in CVS Health Corporation on December 19, 2016 and sell it today you would earn a total of  399.00  from holding CVS Health Corporation or generate 4.99% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Apple and CVS Health
0.54

Parameters

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

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Apple Inc. and CVS Health Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CVS Health and Apple 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 Apple Inc are associated (or correlated) with CVS Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CVS Health has no effect on the direction of Apple i.e. Apple and CVS Health 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
 0.37  0.14  0.31  0.83  0.00  0.32 (0.45)  0.92 (0.66)  1.53 
 0.79  0.28  0.42  0.52  0.14  0.28 (1.03)  2.09 (0.85)  2.95 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Apple Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 19 (%) of all global equities and portfolios over the last 30 days.

CVS Health

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CVS Health Corporation are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.