Pair Correlation Between Apple and Home Depot

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

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to generate 0.76 times more return on investment than Home Depot. However, Apple Inc is 1.31 times less risky than Home Depot. It trades about 0.29 of its potential returns per unit of risk. The Home Depot Inc is currently generating about 0.03 per unit of risk. If you would invest  11,664  in Apple Inc on December 19, 2016 and sell it today you would earn a total of  336.00  from holding Apple Inc or generate 2.88% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Apple and Home Depot
0.3

Parameters

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

Diversification

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Apple Inc. and The Home Depot Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Home Depot 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 Home Depot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Home Depot has no effect on the direction of Apple i.e. Apple and Home Depot 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 
 0.48 (0.01)  0.01  0.04  0.56  0.0051 (0.59)  1.23 (1.02)  2.41 

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.

The Home Depot

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.