Pair Correlation Between Realty Income and VEREIT

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

Pair Volatility

Taking into account the 30 trading days horizon, Realty Income Corporation is expected to generate 0.77 times more return on investment than VEREIT. However, Realty Income Corporation is 1.3 times less risky than VEREIT. It trades about -0.33 of its potential returns per unit of risk. VEREIT Inc is currently generating about -0.29 per unit of risk. If you would invest  5,956  in Realty Income Corporation on September 18, 2017 and sell it today you would lose (308)  from holding Realty Income Corporation or give up 5.17% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Realty Income and VEREIT
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 Realty Income Corp. and VEREIT Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VEREIT Inc and Realty Income 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 Realty Income Corporation are associated (or correlated) with VEREIT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VEREIT Inc has no effect on the direction of Realty Income i.e. Realty Income and VEREIT go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Realty Income

  
0 

Risk-Adjusted Performance

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

VEREIT Inc

  
0 

Risk-Adjusted Performance

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