Pair Correlation Between Exxon and JPMorgan Chase

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

Pair Volatility

Considering 30-days investment horizon, Exxon is expected to generate 2.82 times less return on investment than JPMorgan Chase. But when comparing it to its historical volatility, Exxon Mobil Corporation is 1.58 times less risky than JPMorgan Chase. It trades about 0.24 of its potential returns per unit of risk. JPMorgan Chase Co is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest  7,669  in JPMorgan Chase Co on November 11, 2016 and sell it today you would earn a total of  880.00  from holding JPMorgan Chase Co or generate 11.47% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and JPMorgan Chase
0.21

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 JPMorgan Chase Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase Co 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 JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase Co has no effect on the direction of Exxon i.e. Exxon and JPMorgan Chase 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 
 1.00  0.46  0.42  0.64  0.00  0.33 (1.31) 3.68 (0.65) 7.11 

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.

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 29 (%) of all global equities and portfolios over the last 30 days.