Pair Correlation Between Agilent Technologies and Salesforce

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

Pair Volatility

Taking into account the 30 trading days horizon, Agilent Technologies Inc is expected to generate 0.72 times more return on investment than Salesforce. However, Agilent Technologies Inc is 1.39 times less risky than Salesforce. It trades about -0.04 of its potential returns per unit of risk. salesforce inc is currently generating about -0.13 per unit of risk. If you would invest  4,562  in Agilent Technologies Inc on November 8, 2016 and sell it today you would lose (63.00) from holding Agilent Technologies Inc or give up 1.38% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Agilent Technologies and Salesforce
-0.31

Parameters

Time Period1 Month [change]
DirectionNegative A Moved Down vs CRM
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding Agilent Technologies Inc. and salesforce.com inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on salesforce inc and Agilent Technologies 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 Agilent Technologies Inc are associated (or correlated) with Salesforce. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of salesforce inc has no effect on the direction of Agilent Technologies i.e. Agilent Technologies and Salesforce 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
 1.16 (0.10) 0.00 (0.89) 0.00 (0.25) 0.00  2.02 (2.22) 5.25 
 1.53 (0.12) 0.00  0.51  0.00 (0.27) 0.00  3.43 (2.99) 8.35 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Agilent Technologies

  

Risk-adjusted Performance

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

salesforce inc

  

Risk-adjusted Performance

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