Pair Correlation Between Darden Restaurants and Bloomin Brands

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. See also your portfolio center.Please also check ongoing floating volatility patterns of Darden Restaurants and Bloomin Brands.
Investment Horizon     30 Days    Login   to change
 Darden Restaurants Inc.  vs   Bloomin Brands Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Darden Restaurants Inc is expected to generate 0.72 times more return on investment than Bloomin Brands. However, Darden Restaurants Inc is 1.38 times less risky than Bloomin Brands. It trades about -0.03 of its potential returns per unit of risk. Bloomin Brands Inc is currently generating about -0.37 per unit of risk. If you would invest  6,189  in Darden Restaurants Inc on September 1, 2016 and sell it today you would lose (57.00) from holding Darden Restaurants Inc or give up 0.92% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Darden Restaurants and Bloomin Brands
0.72

Parameters

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

Diversification

Poor 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. The correlation between historical prices or returns on Bloomin Brands and Darden Restaurants 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 Darden Restaurants Inc are associated (or correlated) with Bloomin Brands. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bloomin Brands has no effect on the direction of Darden Restaurants i.e. Darden Restaurants and Bloomin Brands go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.91 (0.04) 0.00  0.16  0.00  0.04  0.00  1.71 (1.52) 4.14 
 1.30 (0.56) 0.00 (9.36) 0.00 (0.32) 0.00  1.56 (3.22) 4.93 

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.

Bloomin Brands

  

Risk-adjusted Performance

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