Benchmark  United States  NYSE  11,212   27.3701  -0.2435% 


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Collecting data for SU and XOM ...

Correlation analysis between Suncor and Exxon  

    
Investment horizon:  
  30 Days    Login   to change
  
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 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 with a short position of Exxon. Please also check ongoing floating volatility patterns of Suncor and Exxon.
 Suncor Energy Inc.  vs   Exxon Mobil Corp.
Daily Returns (%)
SU   XOM   
Benchmark  Embed   Timeline 
Allowing for the 30-days total investment horizon, Suncor Energy Inc is expected to under-perform the Exxon. In addition to that, Suncor is 1.64 times more volatile than Exxon Mobil Corporation. It trades about -0.31 of its total potential returns per unit of risk. Exxon Mobil Corporation is currently generating about -0.04 per unit of volatility. If you would invest  8,746  in Exxon Mobil Corporation on April 22, 2015 and sell it today you would lose (71.50) from holding Exxon Mobil Corporation or give up 0.82% of portfolio value over 30 days.

Correlation Coefficient

0.19

Parameters

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

Diversification

Average 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

Historical Performance Chart

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

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Apache Corp vs. Suncor Energy Inc
Pioneer Natural Resources Co vs. Suncor Energy Inc
  

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.

Pair trading matchups for Exxon

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