Pair Correlation Between Suncor Energy 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 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. Please also check ongoing floating volatility patterns of Suncor Energy and Exxon.
 Suncor Energy Inc.  vs   Exxon Mobil Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Allowing for the 30-days total investment horizon, Suncor Energy is expected to generate 1.12 times less return on investment than Exxon. In addition to that, Suncor Energy is 1.86 times more volatile than Exxon Mobil Corporation. It trades about 0.1 of its total potential returns per unit of risk. Exxon Mobil Corporation is currently generating about 0.21 per unit of volatility. If you would invest  8,924  in Exxon Mobil Corporation on June 1, 2016 and sell it today you would earn a total of  460.00  from holding Exxon Mobil Corporation or generate 5.15% return on investment over 30 days.

Correlation Coefficient

0.71

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 Exxon Mobil 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
 1.52  0.13  0.07 (0.64) 2.02  0.09 (1.42) 2.16 (2.64) 8.81 
 0.80  0.25  0.29 (0.87) 0.69  0.29 (0.97) 1.71 (0.76) 4.16 

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

Pair trading matchups for Suncor Energy

  

Exxon Mobil

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Exxon Mobil Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Exxon