Correlation Analysis Between Fossil and Macys

This module allows you to analyze existing cross correlation between Fossil Group and Macys. 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.
 Time Horizon     30 Days    Login   to change

Fossil Group Inc  vs.  Macys Inc

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Fossil Group is expected to under-perform the Macys. In addition to that, Fossil is 2.09 times more volatile than Macys. It trades about -0.06 of its total potential returns per unit of risk. Macys is currently generating about -0.07 per unit of volatility. If you would invest  3,888  in Macys on June 19, 2018 and sell it today you would lose (118.00)  from holding Macys or give up 3.03% of portfolio value over 30 days.

Pair Corralation between Fossil and Macys

Time Period1 Month [change]
ValuesDaily Returns


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 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 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 Fossil i.e. Fossil and Macys go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Fossil Group  

Risk-Adjusted Performance

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

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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