Pair Correlation Between Macys and Alcoa

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

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 1.22 times more return on investment than Alcoa. However, Macys is 1.22 times more volatile than Alcoa Corporation. It trades about 0.57 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.04 per unit of risk. If you would invest  1,933  in Macys Inc on November 12, 2017 and sell it today you would earn a total of  656  from holding Macys Inc or generate 33.94% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Alcoa
-0.66

Parameters

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

Diversification

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Alcoa Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa and Macys 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 Macys Inc are associated (or correlated) with Alcoa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alcoa has no effect on the direction of Macys i.e. Macys and Alcoa go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
37 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 37 (%) of all global equities and portfolios over the last 30 days.

Alcoa

  
0 

Risk-Adjusted Performance

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