This module allows you to analyze existing cross correlation between Citigroup Inc and Macys Inc. 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
Citigroup Inc vs Macys Inc
Taking into account the 30 trading days horizon, Citigroup is expected to generate 6.96 times less return on investment than Macys. But when comparing it to its historical volatility, Citigroup Inc is 2.31 times less risky than Macys. It trades about 0.13 of its potential returns per unit of risk. Macys Inc is currently generating about 0.4 of returns per unit of risk over similar time horizon. If you would invest 1,970 in Macys Inc on November 14, 2017 and sell it today you would earn a total of 510 from holding Macys Inc or generate 25.89% return on investment over 30 days.
|Time Period||1 Month [change]|
Almost no 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 Inc 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 Inc 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 Inc has no effect on the direction of Citigroup i.e. Citigroup and Macys go up and down completely randomly.
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 26 (%) of all global equities and portfolios over the last 30 days.