Pair Correlation Between Suncor Energy and Exxon

This module allows you to analyze existing cross correlation between Suncor Energy Inc and Exxon Mobil Corporation. You can compare the effects of market volatilities on Suncor Energy and Exxon 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 Exxon. See also your portfolio center.Please also check ongoing floating volatility patterns of Suncor Energy and Exxon.
Investment Horizon     30 Days    Login   to change
 Suncor Energy Inc.  vs   Exxon Mobil Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Suncor Energy Inc is expected to under-perform the Exxon. In addition to that, Suncor Energy is 1.39 times more volatile than Exxon Mobil Corporation. It trades about -0.18 of its total potential returns per unit of risk. Exxon Mobil Corporation is currently generating about -0.25 per unit of volatility. If you would invest  8,784  in Exxon Mobil Corporation on August 27, 2016 and sell it today you would lose (453.00) from holding Exxon Mobil Corporation or give up 5.16% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Suncor Energy and Exxon
0.8

Parameters

Time Period1 Month [change]
DirectionPositive 
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 Exxon Mobil Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exxon Mobil and Suncor Energy is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Suncor Energy Inc are associated (or correlated) with Exxon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exxon Mobil has no effect on the direction of Suncor Energy i.e. Suncor Energy and Exxon go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.07 (0.23) 0.00 (0.23) 0.00 (0.17) 0.00  1.86 (2.58) 4.71 
 0.74 (0.21) 0.00 (0.27) 0.00 (0.21) 0.00  0.92 (2.38) 3.80 

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.

Exxon Mobil

  

Risk-adjusted Performance

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