Pair Correlation Between International Business and Home Depot

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

Pair Volatility

Considering 30-days investment horizon, International Business Machines Corporation is expected to under-perform the Home Depot. But the stock apears to be less risky and, when comparing its historical volatility, International Business Machines Corporation is 1.28 times less risky than Home Depot. The stock trades about -0.16 of its potential returns per unit of risk. The The Home Depot Inc is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  16,603  in The Home Depot Inc on October 24, 2017 and sell it today you would earn a total of  603  from holding The Home Depot Inc or generate 3.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between International Business and Home Depot
-0.03

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

International Business

  
0 

Risk-Adjusted Performance

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

The Home Depot

  
11 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.