Pair Correlation Between Sprint and Chevron

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

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to generate 1.42 times more return on investment than Chevron. However, Sprint is 1.42 times more volatile than Chevron Corporation. It trades about 0.21 of its potential returns per unit of risk. Chevron Corporation is currently generating about -0.02 per unit of risk. If you would invest  829.00  in Sprint Corporation on March 26, 2017 and sell it today you would earn a total of  42.00  from holding Sprint Corporation or generate 5.07% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Sprint and Chevron
-0.26

Parameters

Time Period1 Month [change]
DirectionNegative S Moved Down vs CVX
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Sprint Corp. and Chevron Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Chevron and Sprint 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 Sprint Corporation are associated (or correlated) with Chevron. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chevron has no effect on the direction of Sprint i.e. Sprint and Chevron go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

Sprint

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sprint Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

Chevron

  
0 

Risk-Adjusted Performance

Over the last 30 days Chevron Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.