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 (%) 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, TOTAL SA is expected to generate 0.9 times more return on investment than Hess. However, TOTAL SA is 1.11 times less risky than Hess. It trades about -0.02 of its potential returns per unit of risk. Hess Corporation is currently generating about -0.04 per unit of risk. If you would invest  4,852  in TOTAL SA on May 30, 2016 and sell it today you would lose (83.00) from holding TOTAL SA or give up 1.71% of portfolio value over 30 days.

Correlation Coefficient

0.82

Parameters

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

Diversification

Very poor 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.92 (0.27) 0.00  1.27  0.00 (0.0085) 0.00  3.33 (3.10) 11.99 
 2.33 (0.41) 0.00  0.10  0.00  0.03  0.00  4.77 (5.73) 9.93 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

TOTAL SA

  

Risk-adjusted Performance

Over the last 30 days TOTAL SA has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for TOTAL SA

  

Hess

  

Risk-adjusted Performance

Over the last 30 days Hess Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for Hess