Correlation Analysis Between Tuesday and Franchise

       
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 and Franchise 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 with a short position of Franchise. Please also check ongoing floating volatility patterns of Tuesday and Franchise.
 Tuesday Morning Corp.  vs   Franchise Bancorp Inc.
Daily Returns (%)
FBI   TUES   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Tuesday Morning Corporation is expected to under-perform the Franchise. In addition to that, Tuesday is 2.0 times more volatile than Franchise Bancorp Inc. It trades about -0.04 of its total potential returns per unit of risk. Franchise Bancorp Inc is currently generating about 0.14 per unit of volatility. If you would invest  170.00  in Franchise Bancorp Inc on August 3, 2015 and sell it today you would earn a total of  20.00  from holding Franchise Bancorp Inc or generate 11.76% return on investment over 30 days.

Correlation Coefficient

-0.55

Parameters

Time Period1 Month [change]
DirectionNegative TUES Moved Down vs FBI.V
StrengthVery Weak
Accuracy91.3%
ValuesDaily Returns
  

Diversification

Excellent 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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Tuesday Morning

  

Risk-adjusted Performance

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

Franchise Bancorp

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Franchise Bancorp Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Franchise