Pair Correlation Between Fossil and Macys

This module allows you to analyze existing cross correlation between Fossil Group Inc and Macys Inc. You can compare the effects of market volatilities on Fossil 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 Fossil with a short position of Macys. See also your portfolio center. Please also check ongoing floating volatility patterns of Fossil and Macys.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Fossil Group Inc  vs   Macys Inc
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Fossil Group Inc is expected to generate 1.67 times more return on investment than Macys. However, Fossil is 1.67 times more volatile than Macys Inc. It trades about 0.0 of its potential returns per unit of risk. Macys Inc is currently generating about -0.17 per unit of risk. If you would invest  900  in Fossil Group Inc on September 20, 2017 and sell it today you would lose (8)  from holding Fossil Group Inc or give up 0.89% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Fossil and Macys
0.57

Parameters

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

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Fossil Group Inc and Macys Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Macys Inc and Fossil 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 Fossil Group 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 Fossil i.e. Fossil and Macys go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Fossil Group Inc

  
0 

Risk-Adjusted Performance

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

Macys Inc

  
0 

Risk-Adjusted Performance

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