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 Company is expected to generate 0.51 times more return on investment than Macys. However, Ford Motor Company is 1.98 times less risky than Macys. It trades about 0.15 of its potential returns per unit of risk. Macys Inc is currently generating about -0.05 per unit of risk. If you would invest  1,171  in Ford Motor Company on September 20, 2017 and sell it today you would earn a total of  35  from holding Ford Motor Company or generate 2.99% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Ford Motor and Macys
-0.61

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Excellent 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

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Company are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.

Macys Inc

  
0 

Risk-Adjusted Performance

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