Pair Correlation Between Exxon and Agilent Technologies

This module allows you to analyze existing cross correlation between Exxon Mobil Corporation and Agilent Technologies Inc. You can compare the effects of market volatilities on Exxon and Agilent Technologies 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 Exxon with a short position of Agilent Technologies. See also your portfolio center.Please also check ongoing floating volatility patterns of Exxon and Agilent Technologies.
Investment Horizon     30 Days    Login   to change
 Exxon Mobil Corp.  vs   Agilent Technologies Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Exxon Mobil Corporation is expected to generate 0.54 times more return on investment than Agilent Technologies. However, Exxon Mobil Corporation is 1.85 times less risky than Agilent Technologies. It trades about 0.24 of its potential returns per unit of risk. Agilent Technologies Inc is currently generating about 0.0 per unit of risk. If you would invest  8,564  in Exxon Mobil Corporation on November 11, 2016 and sell it today you would earn a total of  336.00  from holding Exxon Mobil Corporation or generate 3.92% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and Agilent Technologies
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents amount of risk that can be diversified away by holding Exxon Mobil Corp. and Agilent Technologies Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies and Exxon 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 Exxon Mobil Corporation are associated (or correlated) with Agilent Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agilent Technologies has no effect on the direction of Exxon i.e. Exxon and Agilent Technologies 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
 0.64 (0.14)(0.09) 0.11  0.64 (0.10)(0.68) 1.63 (1.23) 3.04 
 1.24 (0.23)(0.10) 0.03  1.65 (0.12)(1.18) 2.02 (2.22) 5.25 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Exxon Mobil

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Exxon Mobil Corporation are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Agilent Technologies

  

Risk-adjusted Performance

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