Pair Correlation Between Ford Motor and Citigroup

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

Pair Volatility

Taking into account the 30 trading days horizon, Ford Motor Company is expected to generate 0.73 times more return on investment than Citigroup. However, Ford Motor Company is 1.36 times less risky than Citigroup. It trades about 0.26 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.14 per unit of risk. If you would invest  1,163  in Ford Motor Company on September 18, 2017 and sell it today you would earn a total of  56  from holding Ford Motor Company or generate 4.82% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Ford Motor and Citigroup
0.81

Parameters

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

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Ford Motor

  
17 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Company are ranked lower than 17 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  
9 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.