Pair Correlation Between Chevron and International Business

This module allows you to analyze existing cross correlation between Chevron Corporation and International Business Machines Corporation. You can compare the effects of market volatilities on Chevron and International Business 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 International Business. See also your portfolio center. Please also check ongoing floating volatility patterns of Chevron and International Business.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Chevron Corp.  vs   International Business Machine
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Chevron is expected to generate 1.29 times less return on investment than International Business. But when comparing it to its historical volatility, Chevron Corporation is 1.48 times less risky than International Business. It trades about 0.28 of its potential returns per unit of risk. International Business Machines Corporation is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  15,250  in International Business Machines Corporation on December 22, 2017 and sell it today you would earn a total of  987  from holding International Business Machines Corporation or generate 6.47% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and International Business
0.81

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 Chevron Corp. and International Business Machine in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on International Business 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 International Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Business has no effect on the direction of Chevron i.e. Chevron and International Business go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Chevron

  
18 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Chevron Corporation are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.

International Business

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in International Business Machines Corporation are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.