Correlation Analysis Between Facebook and All Ords

This module allows you to analyze existing cross correlation between Facebook and All Ords. You can compare the effects of market volatilities on Facebook and All Ords 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 Facebook with a short position of All Ords. See also your portfolio center. Please also check ongoing floating volatility patterns of Facebook and All Ords.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

Facebook Inc  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Facebook is expected to generate 4.04 times more return on investment than All Ords. However, Facebook is 4.04 times more volatile than All Ords. It trades about 0.08 of its potential returns per unit of risk. All Ords is currently generating about 0.3 per unit of risk. If you would invest  15,004  in Facebook on February 17, 2019 and sell it today you would earn a total of  993.00  from holding Facebook or generate 6.62% return on investment over 30 days.

Pair Corralation between Facebook and All Ords

0.76
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy82.5%
ValuesDaily Returns

Diversification Opportunities for Facebook and All Ords

Facebook Inc diversification synergy

Poor diversification

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