Correlation Analysis Between S A P and Google

       
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between SAP AG and Google Inc. You can compare the effects of market volatilities on S A P and Google 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 Google. Please also check ongoing floating volatility patterns of S A P and Google.
 SAP AG  vs   Google Inc.
Daily Returns (%)
SAP   GOOG   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP AG is expected to under-perform the Google. But the stock apears to be less risky and, when comparing its historical volatility, SAP AG is 1.72 times less risky than Google. The stock trades about -0.33 of its potential returns per unit of risk. The Google Inc is currently generating about -0.12 of returns per unit of risk over similar time horizon. If you would invest  64,378  in Google Inc on August 5, 2015 and sell it today you would lose (4,498) from holding Google Inc or give up 6.99% of portfolio value over 30 days.

Correlation Coefficient

0.51

Parameters

Time Period1 Month [change]
DirectionPositive GOOG Moved Up vs SAP
StrengthWeak
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding SAP AG and Google Inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

SAP AG

  

Risk-adjusted Performance

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

Pair trading matchups for S A P

  

Google Inc

  

Risk-adjusted Performance

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

Pair trading matchups for Google