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 (%)
SU   HES   
Benchmark  Embed   Timeline 
Allowing for the 30-days total investment horizon, Suncor Energy Inc is expected to under-perform the Hess. But the stock apears to be less risky and, when comparing its historical volatility, Suncor Energy Inc is 1.01 times less risky than Hess. The stock trades about -0.13 of its potential returns per unit of risk. The Hess Corporation is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  5,918  in Hess Corporation on April 28, 2016 and sell it today you would earn a total of  105.00  from holding Hess Corporation or generate 1.77% return on investment over 30 days.

Correlation Coefficient

0.7

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
 1.65 (0.24) 0.00 (0.43) 0.00 (0.10) 0.00  2.92 (3.40) 6.89 
 1.49  0.11  0.08  0.36  1.75  0.07 (1.74) 4.19 (2.99) 7.25 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Suncor Energy

  

Risk-adjusted Performance

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

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

Pair trading matchups for Hess