Pair Correlation Between Apple and International Business

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

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to generate 0.77 times more return on investment than International Business. However, Apple Inc is 1.29 times less risky than International Business. It trades about 0.29 of its potential returns per unit of risk. International Business Machines Corporation is currently generating about 0.06 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 International Business
0.17

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 Apple 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 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 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 Apple i.e. Apple 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
 0.37  0.14  0.31  0.83  0.00  0.32 (0.45)  0.92 (0.66)  1.53 
 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 

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.

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.