This module allows you to analyze existing cross correlation between Citigroup and Macys. You can compare the effects of market volatilities on Citigroup and Macys 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 Citigroup with a short position of Macys. See also your portfolio center
. Please also check ongoing floating volatility patterns of Citigroup
Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Macys has generated negative risk-adjusted returns adding no value to investors with long positions.
Citigroup and Macys Volatility Contrast
Citigroup Inc vs. Macys Inc
Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.5 times less risky than Macys. The stock trades about -0.26 of its potential returns per unit of risk. The Macys is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 3,339 in Macys on November 14, 2018 and sell it today you would lose (226.00) from holding Macys or give up 6.77% of portfolio value over 30 days.
Pair Corralation between Citigroup and Macys
|Time Period||2 Months [change]|
Diversification Opportunities for Citigroup and Macys
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Macys Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Macys and Citigroup 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 Citigroup are associated (or correlated) with Macys. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Macys has no effect on the direction of Citigroup i.e. Citigroup and Macys go up and down completely randomly.