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 generate 1.11 times more return on investment than Exxon. However, Suncor is 1.11 times more volatile than Exxon Mobil Corporation. It trades about 0.08 of its potential returns per unit of risk. Exxon Mobil Corporation is currently generating about -0.18 per unit of risk. If you would invest  2,668  in Suncor Energy Inc on July 29, 2015 and sell it today you would earn a total of  118.00  from holding Suncor Energy Inc or generate 4.42% return on investment over 30 days.

Correlation Coefficient

0.66

Parameters

Time Period1 Month [change]
DirectionPositive XOM Moved Up vs SU
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 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

Compared to the overall equity markets, risk-adjusted returns on investments in Suncor Energy Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Suncor

  

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