Pair Correlation Between Citigroup and Macys

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 and Macys.
 Time Horizon     30 Days    Login   to change
 Citigroup Inc  vs   Macys Inc
 Performance (%) 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup Inc is expected to under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup Inc is 1.75 times less risky than Macys. The stock trades about -0.2 of its potential returns per unit of risk. The Macys Inc is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest  2,565  in Macys Inc on February 18, 2018 and sell it today you would earn a total of  365.00  from holding Macys Inc or generate 14.23% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Macys


Time Period1 Month [change]
ValuesDaily Returns


Excellent 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.

Comparative Volatility

 Predicted Return Density 

Citigroup Inc


Risk-Adjusted Performance

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

Macys Inc


Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 21 (%) of all global equities and portfolios over the last 30 days.