Pair Correlation Between Ford Motor and Agilent Technologies

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

Pair Volatility

Taking into account the 30 trading days horizon, Ford Motor Co is expected to generate 1.13 times more return on investment than Agilent Technologies. However, Ford Motor is 1.13 times more volatile than Agilent Technologies Inc. It trades about 0.37 of its potential returns per unit of risk. Agilent Technologies Inc is currently generating about -0.04 per unit of risk. If you would invest  1,148  in Ford Motor Co on November 8, 2016 and sell it today you would earn a total of  158.00  from holding Ford Motor Co or generate 13.76% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Ford Motor and Agilent Technologies
0.13

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Average diversification

Overlapping area represents amount of risk that can be diversified away by holding Ford Motor Co. and Agilent Technologies Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies 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 Co are associated (or correlated) with Agilent Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agilent Technologies has no effect on the direction of Ford Motor i.e. Ford Motor and Agilent Technologies go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.30  0.38  0.23  0.94  0.44  0.16 (1.67) 3.93 (1.53) 5.46 
 1.16 (0.10) 0.00 (0.89) 0.00 (0.25) 0.00  2.02 (2.22) 5.25 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Ford Motor Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Ford Motor Co are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.

Agilent Technologies

  

Risk-adjusted Performance

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