Pair Correlation Between Ford Motor and Microsoft

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

Pair Volatility

Taking into account the 30 trading days horizon, Ford Motor Co is expected to generate 1.22 times more return on investment than Microsoft. However, Ford Motor is 1.22 times more volatile than Microsoft Corporation. It trades about 0.21 of its potential returns per unit of risk. Microsoft Corporation is currently generating about -0.01 per unit of risk. If you would invest  1,140  in Ford Motor Co on November 2, 2016 and sell it today you would earn a total of  81.00  from holding Ford Motor Co or generate 7.11% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Ford Motor and Microsoft
-0.16

Parameters

Time Period1 Month [change]
DirectionNegative F Moved Down vs MSFT
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents amount of risk that can be diversified away by holding Ford Motor Co. and Microsoft Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Microsoft 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 Microsoft. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Microsoft has no effect on the direction of Ford Motor i.e. Ford Motor and Microsoft 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
 1.15  0.23  0.15  0.58  0.69  0.11 (1.56) 3.11 (1.79) 4.90 
 0.97 (0.01) 0.00  0.17  0.00 (0.15) 0.00  1.69 (1.83) 5.37 

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

Microsoft

  

Risk-adjusted Performance

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