Pair Correlation Between TOTAL SA and Hess

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. See also your portfolio center.Please also check ongoing floating volatility patterns of TOTAL SA and Hess.
Investment Horizon     30 Days    Login   to change
 TOTAL S.A.  vs   Hess Corp.
 Daily Returns (%) 
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Pair Volatility

Considering 30-days investment horizon, TOTAL SA is expected to generate 8.81 times less return on investment than Hess. But when comparing it to its historical volatility, TOTAL SA is 1.7 times less risky than Hess. It trades about 0.0 of its potential returns per unit of risk. Hess Corporation is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  5,331  in Hess Corporation on September 1, 2016 and sell it today you would earn a total of  31.00  from holding Hess Corporation or generate 0.58% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between TOTAL SA and Hess
0.6

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 TOTAL S.A. and Hess Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Hess and TOTAL SA is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on TOTAL SA are associated (or correlated) with Hess. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hess has no effect on the direction of TOTAL SA i.e. TOTAL SA and Hess go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.27 (0.01) 0.03  0.04  1.99  0.04 (1.08) 2.49 (2.70) 5.66 
 2.15 (0.02) 0.00 (0.41) 0.00  0.01  0.00  4.63 (4.23) 8.43 

Comparative Volatility

 Predicted Return Density 
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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.

Hess

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Hess Corporation are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.