Pair Correlation Between S A P and Alphabet

This module allows you to analyze existing cross correlation between SAP SE and Alphabet Inc. You can compare the effects of market volatilities on S A P and Alphabet 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 S A P with a short position of Alphabet. See also your portfolio center.Please also check ongoing floating volatility patterns of S A P and Alphabet.
Investment Horizon     30 Days    Login   to change
 SAP SE  vs   Alphabet Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, SAP SE is expected to generate 1.47 times more return on investment than Alphabet. However, S A P is 1.47 times more volatile than Alphabet Inc. It trades about 0.2 of its potential returns per unit of risk. Alphabet Inc is currently generating about 0.12 per unit of risk. If you would invest  8,720  in SAP SE on August 27, 2016 and sell it today you would earn a total of  434.00  from holding SAP SE or generate 4.98% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between S A P and Alphabet
0.68

Parameters

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

Diversification

Poor diversification

Overlapping area represents amount of risk that can be diversified away by holding SAP SE and Alphabet Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alphabet Inc and S A P 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 SAP SE are associated (or correlated) with Alphabet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alphabet Inc has no effect on the direction of S A P i.e. S A P and Alphabet 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
 0.95  0.24  0.18  0.22  1.02  0.21 (1.00) 1.77 (2.04) 3.89 
 0.60  0.12  0.15  0.12  0.69  0.16 (0.64) 1.23 (1.21) 3.14 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SAP SE

  

Risk-adjusted Performance

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

Alphabet Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alphabet Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.