Pair Correlation Between Lear Corp and Johnson Controls

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. See also your portfolio center.Please also check ongoing floating volatility patterns of Lear Corp and Johnson Controls.
Investment Horizon     30 Days    Login   to change
 Lear Corp.  vs   Johnson Controls Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Lear Corp is expected to generate 1.15 times less return on investment than Johnson Controls. But when comparing it to its historical volatility, Lear Corp is 1.11 times less risky than Johnson Controls. It trades about 0.24 of its potential returns per unit of risk. Johnson Controls Inc is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  4,135  in Johnson Controls Inc on November 2, 2016 and sell it today you would earn a total of  407.00  from holding Johnson Controls Inc or generate 9.84% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Lear Corp and Johnson Controls
0.16

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Average 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. The correlation between historical prices or returns on Johnson Controls and Lear Corp 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 Lear Corp are associated (or correlated) with Johnson Controls. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Johnson Controls has no effect on the direction of Lear Corp i.e. Lear Corp and Johnson Controls 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
 1.08  0.28  0.10  1.27  1.26  0.11 (1.31) 2.21 (1.81) 6.14 
 1.11  0.55  0.22 (0.77) 0.79  0.19 (1.35) 3.22 (2.00) 8.11 

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 16 (%) of all global equities and portfolios over the last 30 days.

Johnson Controls

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Johnson Controls Inc are ranked lower than 17 (%) of all global equities and portfolios over the last 30 days.