Correlation Analysis Between Citigroup and Macys

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 and Macys.
Horizon     30 Days    Login   to change

Citigroup Inc  vs.  Macys Inc

 Performance (%) 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 0.64 times more return on investment than Macys. However, Citigroup is 1.56 times less risky than Macys. It trades about 0.19 of its potential returns per unit of risk. Macys is currently generating about -0.2 per unit of risk. If you would invest  7,081  in Citigroup on August 23, 2018 and sell it today you would earn a total of  334.00  from holding Citigroup or generate 4.72% return on investment over 30 days.

Pair Corralation between Citigroup and Macys

Time Period1 Month [change]
ValuesDaily Returns


Pay attention

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.

Comparative Volatility

 Predicted Return Density 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.

Risk-Adjusted Performance

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

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