Pair Correlation Between Apple and Sony

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

Pair Volatility

Given the investment horizon of 30 days, Apple is expected to generate 2.72 times less return on investment than Sony. But when comparing it to its historical volatility, Apple Inc is 2.03 times less risky than Sony. It trades about 0.28 of its potential returns per unit of risk. Sony Corporation is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest  2,884  in Sony Corporation on December 18, 2016 and sell it today you would earn a total of  221.00  from holding Sony Corporation or generate 7.66% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Apple and Sony
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 Sony Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Sony 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 Sony. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sony has no effect on the direction of Apple i.e. Apple and Sony 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 
 0.93  0.23  0.21  0.14  0.85  0.18 (1.15)  2.46 (1.46)  2.57 

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.

Sony

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sony Corporation are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.