Pair Correlation Between Yahoo and Agilent Technologies

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

Pair Volatility

Given the investment horizon of 30 days, Yahoo Inc is expected to under-perform the Agilent Technologies. But the stock apears to be less risky and, when comparing its historical volatility, Yahoo Inc is 1.02 times less risky than Agilent Technologies. The stock trades about -0.04 of its potential returns per unit of risk. The Agilent Technologies Inc is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  4,562  in Agilent Technologies Inc on November 8, 2016 and sell it today you would lose (63.00) from holding Agilent Technologies Inc or give up 1.38% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Yahoo and Agilent Technologies
0.09

Parameters

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

Diversification

Significant diversification

Overlapping area represents amount of risk that can be diversified away by holding Yahoo Inc. and Agilent Technologies Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies and Yahoo 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 Yahoo Inc 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 Yahoo i.e. Yahoo 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
 1.04 (0.07) 0.00 (5.92) 0.00 (0.24) 0.00  1.91 (2.77) 5.70 
 1.16 (0.10) 0.00 (0.89) 0.00 (0.25) 0.00  2.02 (2.22) 5.25 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

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.

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.