Pair Correlation Between Ford Motor and JPMorgan Chase

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

Pair Volatility

Taking into account the 30 trading days horizon, Ford Motor is expected to generate 1.53 times less return on investment than JPMorgan Chase. In addition to that, Ford Motor is 1.23 times more volatile than JPMorgan Chase Co. It trades about 0.23 of its total potential returns per unit of risk. JPMorgan Chase Co is currently generating about 0.43 per unit of volatility. If you would invest  7,669  in JPMorgan Chase Co on November 11, 2016 and sell it today you would earn a total of  880.00  from holding JPMorgan Chase Co or generate 11.47% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Ford Motor and JPMorgan Chase
0.16

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 JPMorgan Chase Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase Co 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 JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase Co has no effect on the direction of Ford Motor i.e. Ford Motor and JPMorgan Chase 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
 1.29  0.31  0.33  0.46  0.31  0.22 (1.69) 3.93 (1.53) 5.46 
 1.00  0.46  0.42  0.64  0.00  0.33 (1.31) 3.68 (0.65) 7.11 

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 15 (%) of all global equities and portfolios over the last 30 days.

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 29 (%) of all global equities and portfolios over the last 30 days.