Pair Correlation Between Disney and GameStop Corp

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

Pair Volatility

Considering 30-days investment horizon, The Walt Disney Company is expected to under-perform the GameStop Corp. But the stock apears to be less risky and, when comparing its historical volatility, The Walt Disney Company is 2.78 times less risky than GameStop Corp. The stock trades about -0.29 of its potential returns per unit of risk. The GameStop Corp is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  2,278  in GameStop Corp on April 30, 2017 and sell it today you would lose (56.00)  from holding GameStop Corp or give up 2.46% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Disney and GameStop Corp
-0.2

Parameters

Time Period1 Month [change]
DirectionNegative DIS Moved Down vs GME
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

The Walt Disney

  
0 

Risk-Adjusted Performance

Over the last 30 days The Walt Disney Company has generated negative risk-adjusted returns adding no value to investors with long positions.

GameStop Corp

  
0 

Risk-Adjusted Performance

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