Given investment horizon of 30 days, NYSE is expected to under-perform the Internationa. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 1.41 times less risky than Internationa. The index trades about -0.32 of its potential returns per unit of risk. The International Flavors & Fragrances Inc. is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest 5,955 in International Flavors & Fragrances Inc. on April 24, 2012 and sell it today you would lose (262.00) from holding International Flavors & Fragrances Inc. or give up 4.4% of portfolio value over 30 days.
Diversification
Very poor diversification
Overlapping area represents amount of risk that can be diversified away by holding NYSE and International Flavors & Fragra in the same portfolio (assuming nothing else is changed)
Over the last 30 days International Flavors & Fragrances Inc. has generated negative risk-adjusted returns adding no value to investors with long positions.
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