Pair Correlation Between Suncor Energy 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 Energy 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 Energy with a short position of Hess. Please also check ongoing floating volatility patterns of Suncor Energy and Hess.
 Suncor Energy Inc.  vs   Hess Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Suncor Energy is expected to generate 1.42 times less return on investment than Hess. But when comparing it to its historical volatility, Suncor Energy Inc is 1.45 times less risky than Hess. It trades about 0.25 of its potential returns per unit of risk. Hess Corporation is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  5,160  in Hess Corporation on July 27, 2016 and sell it today you would earn a total of  507.00  from holding Hess Corporation or generate 9.83% return on investment over 30 days.

Correlation Coefficient

0.76

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 Suncor Energy Inc. and Hess Corp. in the same portfolio assuming nothing else is changed
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.84  0.22  0.15 (0.38) 1.22  0.19 (0.93) 1.66 (1.01) 4.43 
 1.29  0.44  0.21 (0.40) 1.48  0.25 (1.41) 3.17 (1.80) 7.35 

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 17 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Suncor Energy

  

Hess

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Hess Corporation are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Hess