Correlation Analysis Between Suncor and Hess

       
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Suncor Energy Inc and Hess Corporation. You can compare the effects of market volatilities on Suncor and Hess 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 Suncor with a short position of Hess. Please also check ongoing floating volatility patterns of Suncor and Hess.
 Suncor Energy Inc.  vs   Hess Corp.
Daily Returns (%)
SU   HES   
Benchmark  Embed   Timeline 
Allowing for the 30-days total investment horizon, Suncor is expected to generate 1.56 times less return on investment than Hess. But when comparing it to its historical volatility, Suncor Energy Inc is 1.42 times less risky than Hess. It trades about 0.05 of its potential returns per unit of risk. Hess Corporation is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  5,770  in Hess Corporation on August 2, 2015 and sell it today you would earn a total of  175.00  from holding Hess Corporation or generate 3.03% return on investment over 30 days.

Correlation Coefficient

0.84

Parameters

Time Period1 Month [change]
DirectionPositive HES Moved Up vs SU
StrengthStrong
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Very poor diversification

Overlapping area represents amount of risk that can be diversified away by holding Suncor Energy Inc. and Hess Corp. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Suncor Energy

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Suncor Energy Inc are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Suncor

  

Hess

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Hess Corporation are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Hess