Pair Correlation Between Exxon and Yahoo

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

Pair Volatility

Considering 30-days investment horizon, Exxon Mobil Corporation is expected to generate 0.68 times more return on investment than Yahoo. However, Exxon Mobil Corporation is 1.47 times less risky than Yahoo. It trades about 0.19 of its potential returns per unit of risk. Yahoo Inc is currently generating about 0.0 per unit of risk. If you would invest  8,366  in Exxon Mobil Corporation on November 3, 2016 and sell it today you would earn a total of  338.00  from holding Exxon Mobil Corporation or generate 4.04% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and Yahoo
0.12

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Average diversification

Overlapping area represents amount of risk that can be diversified away by holding Exxon Mobil Corp. and Yahoo Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Yahoo 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 Yahoo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yahoo Inc has no effect on the direction of Exxon i.e. Exxon and Yahoo 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
 0.74  0.20  0.02 (2.04) 0.56  0.02 (0.92) 1.81 (1.23) 3.87 
 1.04  0.01  0.00  0.10  0.00 (0.13) 0.00  1.91 (2.77) 5.70 

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 12 (%) of all global equities and portfolios over the last 30 days.

Yahoo Inc

  

Risk-adjusted Performance

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