Pair Correlation Between Citigroup and Ford Motor

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

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup Inc is expected to generate 1.22 times more return on investment than Ford Motor. However, Citigroup is 1.22 times more volatile than Ford Motor Company. It trades about 0.24 of its potential returns per unit of risk. Ford Motor Company is currently generating about 0.19 per unit of risk. If you would invest  7,199  in Citigroup Inc on November 13, 2017 and sell it today you would earn a total of  416  from holding Citigroup Inc or generate 5.78% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Ford Motor
0.95

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 Citigroup Inc and Ford Motor Company in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Ford Motor and Citigroup 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 Citigroup Inc are associated (or correlated) with Ford Motor. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ford Motor has no effect on the direction of Citigroup i.e. Citigroup and Ford Motor go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Citigroup Inc

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Ford Motor

  
12 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Company are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.