Pair Correlation Between TOTAL SA and Hess

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between TOTAL SA and Hess Corporation. You can compare the effects of market volatilities on TOTAL SA and Hess 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 TOTAL SA with a short position of Hess. Please also check ongoing floating volatility patterns of TOTAL SA and Hess.
 TOTAL S.A.  vs   Hess Corp.
Daily Returns (%)
HES   TOT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, TOTAL SA is expected to generate 1.03 times less return on investment than Hess. But when comparing it to its historical volatility, TOTAL SA is 2.0 times less risky than Hess. It trades about 0.46 of its potential returns per unit of risk. Hess Corporation is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  5,203  in Hess Corporation on April 1, 2016 and sell it today you would earn a total of  759.00  from holding Hess Corporation or generate 14.59% return on investment over 30 days.

Correlation Coefficient

0.41

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 TOTAL S.A. and Hess 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
 1.25  0.52  0.29 (4.46) 0.89  0.26 (1.54) 2.87 (1.33) 4.23 
 2.33  0.80  0.21 (0.29) 1.89  0.18 (2.68) 5.32 (3.13) 8.76 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

TOTAL SA

  

Risk-adjusted Performance

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

Pair trading matchups for TOTAL SA

  

Hess

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Hess Corporation are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Hess