Pair Correlation Between Whirlpool and Fortune Brands

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

Pair Volatility

Considering 30-days investment horizon, Whirlpool is expected to generate 1.27 times less return on investment than Fortune Brands. But when comparing it to its historical volatility, Whirlpool Corporation is 1.06 times less risky than Fortune Brands. It trades about 0.23 of its potential returns per unit of risk. Fortune Brands Home Security Inc is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest  6,443  in Fortune Brands Home Security Inc on November 11, 2017 and sell it today you would earn a total of  373  from holding Fortune Brands Home Security Inc or generate 5.79% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Whirlpool and Fortune Brands
0.82

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 Whirlpool Corp. and Fortune Brands Home Security I in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Fortune Brands Home and Whirlpool 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 Whirlpool Corporation are associated (or correlated) with Fortune Brands. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fortune Brands Home has no effect on the direction of Whirlpool i.e. Whirlpool and Fortune Brands go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Whirlpool

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Whirlpool Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

Fortune Brands Home

  
17 

Risk-Adjusted Performance

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