Pair Correlation Between CVS Health and Home Depot

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

Pair Volatility

Considering 30-days investment horizon, CVS Health Corporation is expected to under-perform the Home Depot. In addition to that, CVS Health is 2.1 times more volatile than The Home Depot Inc. It trades about -0.12 of its total potential returns per unit of risk. The Home Depot Inc is currently generating about 0.21 per unit of volatility. If you would invest  16,474  in The Home Depot Inc on October 23, 2017 and sell it today you would earn a total of  732  from holding The Home Depot Inc or generate 4.44% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between CVS Health and Home Depot
0.22

Parameters

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

Diversification

Modest diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

CVS Health

  
0 

Risk-Adjusted Performance

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

The Home Depot

  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.