Correlation Analysis Between Sprint and CVS Health

This module allows you to analyze existing cross correlation between Sprint Corporation and CVS Health Corporation. You can compare the effects of market volatilities on Sprint and CVS Health 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 Sprint with a short position of CVS Health. See also your portfolio center. Please also check ongoing floating volatility patterns of Sprint and CVS Health.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Sprint Corp.  vs.  CVS Health Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to generate 1.54 times more return on investment than CVS Health. However, Sprint is 1.54 times more volatile than CVS Health Corporation. It trades about 0.02 of its potential returns per unit of risk. CVS Health Corporation is currently generating about -0.12 per unit of risk. If you would invest  515.00  in Sprint Corporation on April 27, 2018 and sell it today you would earn a total of  1.00  from holding Sprint Corporation or generate 0.19% return on investment over 30 days.

Pair Corralation between Sprint and CVS Health

0.6
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy3.91%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Sprint  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sprint Corporation are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.
CVS Health  
0 

Risk-Adjusted Performance

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

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