Pair Correlation Between Ford Motor and Macys

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

Pair Volatility

Taking into account the 30 trading days horizon, Ford Motor is expected to generate 8.92 times less return on investment than Macys. But when comparing it to its historical volatility, Ford Motor Company is 2.73 times less risky than Macys. It trades about 0.19 of its potential returns per unit of risk. Macys Inc is currently generating about 0.62 of returns per unit of risk over similar time horizon. If you would invest  1,933  in Macys Inc on November 11, 2017 and sell it today you would earn a total of  682  from holding Macys Inc or generate 35.28% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Ford Motor and Macys
0.92

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

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

Macys Inc

  
40 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 40 (%) of all global equities and portfolios over the last 30 days.