Pair Correlation Between Hess and TOTAL SA

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Hess Corporation and TOTAL SA. You can compare the effects of market volatilities on Hess and TOTAL SA 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 Hess with a short position of TOTAL SA. Please also check ongoing floating volatility patterns of Hess and TOTAL SA.
 Hess Corp.  vs   TOTAL S.A.
Daily Returns (%)
HES   TOT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Hess Corporation is expected to generate 1.64 times more return on investment than TOTAL SA. However, Hess is 1.64 times more volatile than TOTAL SA. It trades about -0.02 of its potential returns per unit of risk. TOTAL SA is currently generating about -0.13 per unit of risk. If you would invest  6,127  in Hess Corporation on April 27, 2016 and sell it today you would lose (85.00) from holding Hess Corporation or give up 1.39% of portfolio value over 30 days.

Correlation Coefficient

0.73

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 Hess Corp. and TOTAL S.A. 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
 1.62 (0.04) 0.00 (0.48) 0.00 (0.0033) 0.00  4.19 (3.41) 7.25 
 1.08 (0.16) 0.00  0.81  0.00 (0.08) 0.00  2.11 (1.88) 3.94 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Hess

  

Risk-adjusted Performance

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

Pair trading matchups for Hess

  

TOTAL SA

  

Risk-adjusted Performance

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

Pair trading matchups for TOTAL SA