Pair Correlation Between Hess and TOTAL SA

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. See also your portfolio center.Please also check ongoing floating volatility patterns of Hess and TOTAL SA.
Investment Horizon     30 Days    Login   to change
 Hess Corp.  vs   TOTAL S.A.
 Daily Returns (%) 
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Pair Volatility

Considering 30-days investment horizon, Hess Corporation is expected to generate 2.95 times more return on investment than TOTAL SA. However, Hess is 2.95 times more volatile than TOTAL SA. It trades about 0.32 of its potential returns per unit of risk. TOTAL SA is currently generating about 0.13 per unit of risk. If you would invest  4,774  in Hess Corporation on November 8, 2016 and sell it today you would earn a total of  1,321  from holding Hess Corporation or generate 27.67% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Hess and TOTAL SA
0.51

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 Hess Corp. and TOTAL S.A. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on TOTAL SA and Hess 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 Hess Corporation are associated (or correlated) with TOTAL SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TOTAL SA has no effect on the direction of Hess i.e. Hess and TOTAL SA 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
 2.22  1.23  0.31 (9.58) 1.63  0.25 (2.64) 5.24 (3.82) 13.82 
 0.91  0.26 (0.09)(0.46) 1.05 (0.10)(0.93) 2.27 (1.60) 4.43 

Comparative Volatility

 Predicted Return Density 
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Hess

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Hess Corporation are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.

TOTAL SA

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in TOTAL SA are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.