Pair Correlation Between Brunswick and Foot Locker

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

Pair Volatility

Allowing for the 30-days total investment horizon, Brunswick is expected to generate 3.88 times less return on investment than Foot Locker. But when comparing it to its historical volatility, Brunswick Corporation is 4.94 times less risky than Foot Locker. It trades about 0.39 of its potential returns per unit of risk. Foot Locker Inc is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  3,000  in Foot Locker Inc on November 14, 2017 and sell it today you would earn a total of  1,433  from holding Foot Locker Inc or generate 47.77% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Brunswick and Foot Locker
0.89

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Brunswick

  
25 

Risk-Adjusted Performance

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

Foot Locker Inc

  
20 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Foot Locker Inc are ranked lower than 20 (%) of all global equities and portfolios over the last 30 days.