Correlation Analysis Between Macys and Ford Motor

This module allows you to analyze existing cross correlation between Macys and Ford Motor Company. You can compare the effects of market volatilities on Macys 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 Macys with a short position of Ford Motor. See also your portfolio center. Please also check ongoing floating volatility patterns of Macys and Ford Motor.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

Macys  
0

Risk-Adjusted Performance

Over the last 30 days Macys has generated negative risk-adjusted returns adding no value to investors with long positions.
Ford Motor  
2

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Company are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Macys and Ford Motor Volatility Contrast

 Predicted Return Density 
      Returns 

Macys Inc  vs.  Ford Motor Company

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys is expected to under-perform the Ford Motor. In addition to that, Macys is 1.1 times more volatile than Ford Motor Company. It trades about -0.04 of its total potential returns per unit of risk. Ford Motor Company is currently generating about 0.03 per unit of volatility. If you would invest  851.00  in Ford Motor Company on November 17, 2018 and sell it today you would earn a total of  19.50  from holding Ford Motor Company or generate 2.29% return on investment over 30 days.

Pair Corralation between Macys and Ford Motor

0.7
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.62%
ValuesDaily Returns

Diversification Opportunities for Macys and Ford Motor

Macys Inc diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Macys 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 Macys 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 Macys 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 Macys i.e. Macys and Ford Motor go up and down completely randomly.

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