Pair Correlation Between Exxon and ATT

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

Pair Volatility

Considering 30-days investment horizon, Exxon is expected to generate 2.61 times less return on investment than ATT. But when comparing it to its historical volatility, Exxon Mobil Corporation is 1.46 times less risky than ATT. It trades about 0.24 of its potential returns per unit of risk. ATT Inc is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest  3,651  in ATT Inc on November 11, 2016 and sell it today you would earn a total of  387.00  from holding ATT Inc or generate 10.6% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and ATT
-0.03

Parameters

Time Period1 Month [change]
DirectionNegative XOM Moved Down vs T
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents amount of risk that can be diversified away by holding Exxon Mobil Corp. and ATT Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATT 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 ATT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATT Inc has no effect on the direction of Exxon i.e. Exxon and ATT 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 
 0.92  0.17  0.09  0.45  0.95  0.10 (1.11) 2.15 (2.15) 4.30 

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.

ATT Inc

  

Risk-adjusted Performance

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