Pair Correlation Between S A P and Alphabet Inc

  
Investment Horizon     30 Days    Login   to change
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 Inc 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 Inc. Please also check ongoing floating volatility patterns of S A P and Alphabet Inc.
 SAP SE  vs   Alphabet Inc.
Daily Returns (%)
SAP   GOOG   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP SE is expected to generate 0.77 times more return on investment than Alphabet Inc. However, SAP SE is 1.3 times less risky than Alphabet Inc. It trades about -0.06 of its potential returns per unit of risk. Alphabet Inc is currently generating about -0.15 per unit of risk. If you would invest  7,765  in SAP SE on January 6, 2016 and sell it today you would lose (225.00) from holding SAP SE or give up 2.9% of portfolio value over 30 days.

Correlation Coefficient

0.34

Parameters

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

Diversification

Weak 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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

SAP SE

  

Risk-adjusted Performance

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

Pair trading matchups for S A P

  

Alphabet Inc

  

Risk-adjusted Performance

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

Pair trading matchups for Alphabet Inc