Pair Correlation Between Chevron and American Airlines

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

Pair Volatility

Considering 30-days investment horizon, Chevron Corporation is expected to generate 0.67 times more return on investment than American Airlines. However, Chevron Corporation is 1.49 times less risky than American Airlines. It trades about -0.12 of its potential returns per unit of risk. American Airlines Group Inc is currently generating about -0.22 per unit of risk. If you would invest  11,820  in Chevron Corporation on October 19, 2017 and sell it today you would lose (349)  from holding Chevron Corporation or give up 2.95% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and American Airlines
0.56

Parameters

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

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

American Airlines Group

  
0 

Risk-Adjusted Performance

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