Pair Correlation Between Tuesday Morning and Franchise Bancorp

This module allows you to analyze existing cross correlation between Tuesday Morning Corporation and Franchise Bancorp Inc. You can compare the effects of market volatilities on Tuesday Morning and Franchise Bancorp 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 Tuesday Morning with a short position of Franchise Bancorp. See also your portfolio center.Please also check ongoing floating volatility patterns of Tuesday Morning and Franchise Bancorp.
Investment Horizon     30 Days    Login   to change
 Tuesday Morning Corp.  vs   Franchise Bancorp Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Given the investment horizon of 30 days, Tuesday Morning Corporation is expected to generate 2.34 times more return on investment than Franchise Bancorp. However, Tuesday Morning is 2.34 times more volatile than Franchise Bancorp Inc. It trades about 0.04 of its potential returns per unit of risk. Franchise Bancorp Inc is currently generating about -0.21 per unit of risk. If you would invest  525.00  in Tuesday Morning Corporation on November 9, 2016 and sell it today you would earn a total of  10.00  from holding Tuesday Morning Corporation or generate 1.9% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Tuesday Morning and Franchise Bancorp
0.08

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Significant diversification

Overlapping area represents amount of risk that can be diversified away by holding Tuesday Morning Corp. and Franchise Bancorp Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Franchise Bancorp and Tuesday Morning 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 Tuesday Morning Corporation are associated (or correlated) with Franchise Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franchise Bancorp has no effect on the direction of Tuesday Morning i.e. Tuesday Morning and Franchise Bancorp 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
 2.50 (0.07) 0.04  0.21  3.17  0.04 (2.91) 6.25 (4.17) 14.36 
 0.57 (0.55) 0.00 (0.31) 0.00 (0.40) 0.00  0.00  0.00  6.54 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Tuesday Morning

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Tuesday Morning Corporation are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Franchise Bancorp

  

Risk-adjusted Performance

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