Pair Correlation Between Agilent Technologies and Exxon

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

Pair Volatility

Taking into account the 30 trading days horizon, Agilent Technologies Inc is expected to under-perform the Exxon. In addition to that, Agilent Technologies is 1.76 times more volatile than Exxon Mobil Corporation. It trades about 0.0 of its total potential returns per unit of risk. Exxon Mobil Corporation is currently generating about 0.13 per unit of volatility. If you would invest  8,625  in Exxon Mobil Corporation on November 9, 2016 and sell it today you would earn a total of  207.00  from holding Exxon Mobil Corporation or generate 2.4% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Agilent Technologies and Exxon
0.14

Parameters

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

Diversification

Average diversification

Overlapping area represents amount of risk that can be diversified away by holding Agilent Technologies Inc. and Exxon Mobil Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exxon Mobil 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 Exxon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exxon Mobil has no effect on the direction of Agilent Technologies i.e. Agilent Technologies and Exxon 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
 1.22 (0.13)(0.13) 0.03  1.66 (0.15)(1.15) 2.02 (2.22) 5.25 
 0.66  0.11 (0.11) 0.83  0.63 (0.11)(0.70) 1.63 (1.23) 3.04 

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.

Exxon Mobil

  

Risk-adjusted Performance

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