Pair Correlation Between Ashland and NuStar Energy

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Ashland Inc and NuStar Energy LP. You can compare the effects of market volatilities on Ashland and NuStar Energy 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 Ashland with a short position of NuStar Energy. Please also check ongoing floating volatility patterns of Ashland and NuStar Energy.
 Ashland Inc.  vs   NuStar Energy L.P.
Daily Returns (%)
ASH   NS   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Ashland Inc is expected to under-perform the NuStar Energy. But the stock apears to be less risky and, when comparing its historical volatility, Ashland Inc is 2.61 times less risky than NuStar Energy. The stock trades about -0.02 of its potential returns per unit of risk. The NuStar Energy LP is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  4,717  in NuStar Energy LP on April 25, 2016 and sell it today you would earn a total of  181.00  from holding NuStar Energy LP or generate 3.84% return on investment over 30 days.

Correlation Coefficient

-0.26

Parameters

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

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding Ashland Inc. and NuStar Energy L.P. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.74 (0.11) 0.00  0.06  0.00  0.11  0.00  1.37 (1.07) 3.41 
 2.02  0.13  0.10  71.11  2.50  0.11 (1.99) 2.95 (3.82) 9.16 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Ashland Inc

  

Risk-adjusted Performance

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

Pair trading matchups for Ashland

  

NuStar Energy LP

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in NuStar Energy LP are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for NuStar Energy