Pair Correlation Between Tuesday Morning and Franchise Bancorp

  
Investment Horizon     30 Days    Login   to change
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. Please also check ongoing floating volatility patterns of Tuesday Morning and Franchise Bancorp.
 Tuesday Morning Corp.  vs   Franchise Bancorp Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

If you would invest  679.00  in Tuesday Morning Corporation on June 24, 2016 and sell it today you would earn a total of  101.00  from holding Tuesday Morning Corporation or generate 14.87% return on investment over 30 days.

Correlation Coefficient

0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Pay attention

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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 2.75  0.41  0.14  0.37  2.88  0.15 (3.16) 5.42 (3.92) 12.01 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

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

Pair trading matchups for Tuesday Morning

  

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.

Pair trading matchups for Franchise Bancorp