Pair Correlation Between Exxon and Alphabet

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

Pair Volatility

Considering 30-days investment horizon, Exxon is expected to generate 1.23 times less return on investment than Alphabet. But when comparing it to its historical volatility, Exxon Mobil Corporation is 1.68 times less risky than Alphabet. It trades about 0.24 of its potential returns per unit of risk. Alphabet Inc is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  75,361  in Alphabet Inc on November 11, 2016 and sell it today you would earn a total of  3,568  from holding Alphabet Inc or generate 4.73% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and Alphabet
0.25

Parameters

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

Diversification

Modest diversification

Overlapping area represents amount of risk that can be diversified away by holding Exxon Mobil Corp. and Alphabet Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alphabet Inc 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 Alphabet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alphabet Inc has no effect on the direction of Exxon i.e. Exxon and Alphabet 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 
 1.15 (0.23)(0.12) 0.02  1.58 (0.14)(1.08) 1.66 (2.33) 4.71 

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.

Alphabet Inc

  

Risk-adjusted Performance

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