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 (%)
SU   XOM   
Benchmark  Embed   Timeline 
Allowing for the 30-days total investment horizon, Suncor Energy Inc is expected to generate 2.6 times more return on investment than Exxon. However, Suncor Energy is 2.6 times more volatile than Exxon Mobil Corporation. It trades about 0.14 of its potential returns per unit of risk. Exxon Mobil Corporation is currently generating about 0.35 per unit of risk. If you would invest  2,781  in Suncor Energy Inc on March 31, 2016 and sell it today you would earn a total of  156.00  from holding Suncor Energy Inc or generate 5.61% return on investment over 30 days.

Correlation Coefficient

0.54

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Very weak 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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.50  0.33  0.10 (0.35) 1.28  0.08 (1.73) 3.53 (2.35) 7.18 
 0.59  0.27  0.19 (1.14) 0.37  0.20 (0.71) 1.24 (1.13) 2.47 

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 9 (%) 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 22 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Exxon