Pair Correlation Between BP plc and Facebook

This module allows you to analyze existing cross correlation between BP plc and Facebook Inc. You can compare the effects of market volatilities on BP plc and Facebook 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 BP plc with a short position of Facebook. See also your portfolio center. Please also check ongoing floating volatility patterns of BP plc and Facebook.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 BP p.l.c.  vs   Facebook Inc
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, BP plc is expected to under-perform the Facebook. But the stock apears to be less risky and, when comparing its historical volatility, BP plc is 1.38 times less risky than Facebook. The stock trades about -0.25 of its potential returns per unit of risk. The Facebook Inc is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  18,537  in Facebook Inc on January 20, 2018 and sell it today you would lose (801.00)  from holding Facebook Inc or give up 4.32% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between BP plc and Facebook
0.78

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding BP p.l.c. and Facebook Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Facebook Inc and BP plc 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 BP plc are associated (or correlated) with Facebook. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Facebook Inc has no effect on the direction of BP plc i.e. BP plc and Facebook go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

BP plc

  
0 

Risk-Adjusted Performance

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

Facebook Inc

  
0 

Risk-Adjusted Performance

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