Pair Correlation Between Tiffany and Este Lauder

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

Pair Volatility

Considering 30-days investment horizon, Tiffany Co is expected to generate 1.23 times more return on investment than Este Lauder. However, Tiffany is 1.23 times more volatile than The Este Lauder Companies Inc. It trades about 0.34 of its potential returns per unit of risk. The Este Lauder Companies Inc is currently generating about 0.14 per unit of risk. If you would invest  10,042  in Tiffany Co on December 19, 2017 and sell it today you would earn a total of  763  from holding Tiffany Co or generate 7.6% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Tiffany and Este Lauder
0.53

Parameters

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

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Tiffany Co

  
22 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Tiffany Co are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.

The Este Lauder

  
9 

Risk-Adjusted Performance

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