Pair Correlation Between Darden Restaurants and Bloomin Brands

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Darden Restaurants Inc and Bloomin Brands Inc. You can compare the effects of market volatilities on Darden Restaurants and Bloomin Brands 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 Darden Restaurants with a short position of Bloomin Brands. Please also check ongoing floating volatility patterns of Darden Restaurants and Bloomin Brands.
 Darden Restaurants Inc.  vs   Bloomin Brands Inc.
Daily Returns (%)
BLMN   DRI   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Darden Restaurants Inc is expected to under-perform the Bloomin Brands. But the stock apears to be less risky and, when comparing its historical volatility, Darden Restaurants Inc is 1.89 times less risky than Bloomin Brands. The stock trades about -0.22 of its potential returns per unit of risk. The Bloomin Brands Inc is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  1,687  in Bloomin Brands Inc on March 31, 2016 and sell it today you would earn a total of  183.00  from holding Bloomin Brands Inc or generate 10.85% return on investment over 30 days.

Correlation Coefficient

0.46

Parameters

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

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Darden Restaurants Inc. and Bloomin Brands Inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.87 (0.26) 0.00  0.98  0.00 (0.32) 0.00  1.12 (2.47) 4.89 
 1.58  0.56  0.29 (0.62) 0.81  0.17 (2.19) 3.33 (1.68) 9.98 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Darden Restaurants

  

Risk-adjusted Performance

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

Pair trading matchups for Darden Restaurants

  

Bloomin Brands

  

Risk-adjusted Performance

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

Pair trading matchups for Bloomin Brands