Pair Correlation Between Chevron and Home Depot

This module allows you to analyze existing cross correlation between Chevron Corporation and The Home Depot Inc. You can compare the effects of market volatilities on Chevron and Home Depot 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 Chevron with a short position of Home Depot. See also your portfolio center. Please also check ongoing floating volatility patterns of Chevron and Home Depot.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Chevron Corp.  vs   The Home Depot Inc
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Chevron Corporation is expected to under-perform the Home Depot. But the stock apears to be less risky and, when comparing its historical volatility, Chevron Corporation is 1.07 times less risky than Home Depot. The stock trades about -0.35 of its potential returns per unit of risk. The The Home Depot Inc is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest  19,833  in The Home Depot Inc on January 18, 2018 and sell it today you would lose (1,136)  from holding The Home Depot Inc or give up 5.73% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and Home Depot
0.96

Parameters

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

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Chevron Corp. and The Home Depot Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Home Depot and Chevron 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 Chevron Corporation are associated (or correlated) with Home Depot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Home Depot has no effect on the direction of Chevron i.e. Chevron and Home Depot go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Chevron

  
0 

Risk-Adjusted Performance

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

The Home Depot

  
0 

Risk-Adjusted Performance

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