Pair Correlation Between Salesforce and JPMorgan Chase

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

Pair Volatility

Considering 30-days investment horizon, salesforce inc is expected to under-perform the JPMorgan Chase. In addition to that, Salesforce is 1.61 times more volatile than JPMorgan Chase Co. It trades about -0.1 of its total potential returns per unit of risk. JPMorgan Chase Co is currently generating about 0.43 per unit of volatility. If you would invest  7,669  in JPMorgan Chase Co on November 11, 2016 and sell it today you would earn a total of  880.00  from holding JPMorgan Chase Co or generate 11.47% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Salesforce and JPMorgan Chase
-0.1

Parameters

Time Period1 Month [change]
DirectionNegative CRM Moved Down vs JPM
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents amount of risk that can be diversified away by holding salesforce.com inc. and JPMorgan Chase Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase Co and Salesforce 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 salesforce inc are associated (or correlated) with JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase Co has no effect on the direction of Salesforce i.e. Salesforce and JPMorgan Chase 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
 1.43 (0.49) 0.00 (0.09) 0.00 (0.18) 0.00  3.43 (2.45) 8.35 
 1.00  0.46  0.42  0.64  0.00  0.33 (1.31) 3.68 (0.65) 7.11 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

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.

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 29 (%) of all global equities and portfolios over the last 30 days.