Pair Correlation Between Chevron and SM Energy

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

Pair Volatility

Considering 30-days investment horizon, Chevron is expected to generate 9.26 times less return on investment than SM Energy. But when comparing it to its historical volatility, Chevron Corporation is 5.15 times less risky than SM Energy. It trades about 0.11 of its potential returns per unit of risk. SM Energy Company is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  1,587  in SM Energy Company on September 19, 2017 and sell it today you would earn a total of  237  from holding SM Energy Company or generate 14.93% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and SM Energy
0.79

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Chevron

  
7 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Chevron Corporation are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

SM Energy

  
13 

Risk-Adjusted Performance

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