Correlation Analysis Between Ford Motor and Citigroup

This module allows you to analyze existing cross correlation between Ford Motor Company and Citigroup. 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.
 Time 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 0.62 times more return on investment than Citigroup. However, Ford Motor Company is 1.62 times less risky than Citigroup. It trades about 0.21 of its potential returns per unit of risk. Citigroup is currently generating about -0.22 per unit of risk. If you would invest  1,151  in Ford Motor Company on May 19, 2018 and sell it today you would earn a total of  37.00  from holding Ford Motor Company or generate 3.21% return on investment over 30 days.

Pair Corralation between Ford Motor and Citigroup

-0.45
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very good 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 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 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  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Company are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.
Citigroup  
0 

Risk-Adjusted Performance

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

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