Pair Correlation Between ATT and Ford Motor

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

Pair Volatility

Taking into account the 30 trading days horizon, ATT Inc is expected to generate 0.75 times more return on investment than Ford Motor. However, ATT Inc is 1.33 times less risky than Ford Motor. It trades about 0.43 of its potential returns per unit of risk. Ford Motor Co is currently generating about 0.23 per unit of risk. If you would invest  3,651  in ATT Inc on November 11, 2016 and sell it today you would earn a total of  387.00  from holding ATT Inc or generate 10.6% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between ATT and Ford Motor
0.45

Parameters

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

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding ATT Inc. and Ford Motor Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Ford Motor Co and ATT 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 ATT Inc are associated (or correlated) with Ford Motor. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ford Motor Co has no effect on the direction of ATT i.e. ATT and Ford Motor 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
 0.92  0.17  0.09  0.45  0.95  0.10 (1.11) 2.15 (2.15) 4.30 
 1.29  0.31  0.33  0.46  0.31  0.22 (1.69) 3.93 (1.53) 5.46 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

ATT Inc

  

Risk-adjusted Performance

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

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.