Pair Correlation Between GM and Facebook

This module allows you to analyze existing cross correlation between General Motors Company and Facebook Inc. You can compare the effects of market volatilities on GM and Facebook 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 GM with a short position of Facebook. See also your portfolio center. Please also check ongoing floating volatility patterns of GM and Facebook.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 General Motors Company  vs   Facebook Inc
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, General Motors Company is expected to under-perform the Facebook. In addition to that, GM is 1.37 times more volatile than Facebook Inc. It trades about -0.01 of its total potential returns per unit of risk. Facebook Inc is currently generating about 0.18 per unit of volatility. If you would invest  17,127  in Facebook Inc on October 22, 2017 and sell it today you would earn a total of  747  from holding Facebook Inc or generate 4.36% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between GM and Facebook
-0.77

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy95.45%
ValuesDaily Returns

Diversification

Pay attention

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

Comparative Volatility

 Predicted Return Density 
      Returns 

General Motors

  
0 

Risk-Adjusted Performance

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

Facebook Inc

  
11 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Facebook Inc are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.