Correlation Analysis Between Home Depot and Macys

This module allows you to analyze existing cross correlation between The Home Depot and Macys. 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.
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, The Home Depot is expected to generate 0.6 times more return on investment than Macys. However, The Home Depot is 1.67 times less risky than Macys. It trades about 0.12 of its potential returns per unit of risk. Macys is currently generating about -0.14 per unit of risk. If you would invest  20,198  in The Home Depot on August 27, 2018 and sell it today you would earn a total of  548.00  from holding The Home Depot or generate 2.71% return on investment over 30 days.

Pair Corralation between Home Depot and Macys

-0.28
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Very good 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 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 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 Home Depot i.e. Home Depot and Macys go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
The Home Depot  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.
Macys  
0 

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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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1166.09

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