Pair Correlation Between Home Depot and CVS Health

This module allows you to analyze existing cross correlation between The Home Depot Inc and CVS Health Corporation. You can compare the effects of market volatilities on Home Depot and CVS Health 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 Home Depot with a short position of CVS Health. See also your portfolio center. Please also check ongoing floating volatility patterns of Home Depot and CVS Health.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 The Home Depot Inc  vs   CVS Health Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, The Home Depot Inc is expected to generate 0.47 times more return on investment than CVS Health. However, The Home Depot Inc is 2.13 times less risky than CVS Health. It trades about 0.18 of its potential returns per unit of risk. CVS Health Corporation is currently generating about -0.15 per unit of risk. If you would invest  16,611  in The Home Depot Inc on October 25, 2017 and sell it today you would earn a total of  622.24  from holding The Home Depot Inc or generate 3.75% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Home Depot and CVS Health
0.39

Parameters

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

Diversification

Weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

The Home Depot

  
12 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.

CVS Health

  
0 

Risk-Adjusted Performance

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