Pair Correlation Between Home Depot and Macys

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

Pair Volatility

Allowing for the 30-days total investment horizon, Home Depot is expected to generate 1.43 times less return on investment than Macys. But when comparing it to its historical volatility, The Home Depot Inc is 18.91 times less risky than Macys. It trades about 0.26 of its potential returns per unit of risk. Macys Inc is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  2,117  in Macys Inc on September 22, 2017 and sell it today you would lose (98)  from holding Macys Inc or give up 4.63% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Home Depot and Macys
-0.56

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy3.92%
ValuesDaily Returns

Diversification

Excellent diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

The Home Depot

  
17 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 17 (%) of all global equities and portfolios over the last 30 days.

Macys Inc

  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.