Correlation Analysis Between Sprint and Facebook

This module allows you to analyze existing cross correlation between Sprint Corporation and Facebook. You can compare the effects of market volatilities on Sprint 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 Sprint with a short position of Facebook. See also your portfolio center. Please also check ongoing floating volatility patterns of Sprint and Facebook.
Horizon     30 Days    Login   to change
Symbolsvs

Sprint Corp.  vs.  Facebook Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to generate 1.24 times more return on investment than Facebook. However, Sprint is 1.24 times more volatile than Facebook. It trades about -0.06 of its potential returns per unit of risk. Facebook is currently generating about -0.19 per unit of risk. If you would invest  641.00  in Sprint Corporation on October 17, 2018 and sell it today you would lose (29.00)  from holding Sprint Corporation or give up 4.52% of portfolio value over 30 days.

Pair Corralation between Sprint and Facebook

0.68
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Sprint Corp. diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Sprint Corp. and Facebook Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Facebook and Sprint 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 Sprint Corporation 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 has no effect on the direction of Sprint i.e. Sprint and Facebook go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Sprint  
0 

Risk-Adjusted Performance

Over the last 30 days Sprint Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.
Facebook  
0 

Risk-Adjusted Performance

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

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1036.05

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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