Pair Correlation Between International Business and Chevron

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

Pair Volatility

Considering 30-days investment horizon, International Business Machines Corporation is expected to generate 0.53 times more return on investment than Chevron. However, International Business Machines Corporation is 1.88 times less risky than Chevron. It trades about 0.19 of its potential returns per unit of risk. Chevron Corporation is currently generating about 0.01 per unit of risk. If you would invest  15,173  in International Business Machines Corporation on May 28, 2017 and sell it today you would earn a total of  350.00  from holding International Business Machines Corporation or generate 2.31% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between International Business and Chevron
0.74

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

International Business

  
13 

Risk-Adjusted Performance

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

Chevron

  
0 

Risk-Adjusted Performance

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