Pair Correlation Between Lear Corp and Johnson Controls

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Lear Corp and Johnson Controls Inc. You can compare the effects of market volatilities on Lear Corp and Johnson Controls 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 Lear Corp with a short position of Johnson Controls. Please also check ongoing floating volatility patterns of Lear Corp and Johnson Controls.
 Lear Corp.  vs   Johnson Controls Inc.
Daily Returns (%)
LEA   JCI   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Lear Corp is expected to generate 1.61 times less return on investment than Johnson Controls. In addition to that, Lear Corp is 1.33 times more volatile than Johnson Controls Inc. It trades about 0.09 of its total potential returns per unit of risk. Johnson Controls Inc is currently generating about 0.2 per unit of volatility. If you would invest  3,897  in Johnson Controls Inc on March 31, 2016 and sell it today you would earn a total of  243.00  from holding Johnson Controls Inc or generate 6.24% return on investment over 30 days.

Correlation Coefficient

0.25

Parameters

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

Diversification

Modest diversification

Overlapping area represents amount of risk that can be diversified away by holding Lear Corp. and Johnson Controls Inc. 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
 1.33  0.16  0.03  1.59  1.94  0.04 (1.39) 2.66 (3.38) 4.82 
 0.98  0.26  0.14  2.72  0.88  0.12 (1.09) 1.96 (1.36) 6.02 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Lear Corp

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Lear Corp are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Lear Corp

  

Johnson Controls

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Johnson Controls Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Johnson Controls