This module allows you to analyze existing cross correlation between Macys 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
Over the last 30 days Macys has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Alcoa Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.
Macys and Alcoa Volatility Contrast
Macys Inc vs. Alcoa Corp.
Taking into account the 30 trading days horizon, Macys is expected to generate 0.82 times more return on investment than Alcoa. However, Macys is 1.22 times less risky than Alcoa. It trades about -0.06 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.24 per unit of risk. If you would invest 3,289 in Macys on November 19, 2018 and sell it today you would lose (261.00) from holding Macys or give up 7.94% of portfolio value over 30 days.
Pair Corralation between Macys and Alcoa
|Time Period||2 Months [change]|
Diversification Opportunities for Macys and Alcoa
Very weak 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 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.