Pair Correlation Between Macys and American Airlines

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

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 1.75 times more return on investment than American Airlines. However, Macys is 1.75 times more volatile than American Airlines Group Inc. It trades about 0.54 of its potential returns per unit of risk. American Airlines Group Inc is currently generating about 0.32 per unit of risk. If you would invest  1,933  in Macys Inc on November 13, 2017 and sell it today you would earn a total of  636  from holding Macys Inc or generate 32.9% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and American Airlines
0.89

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
35 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 35 (%) of all global equities and portfolios over the last 30 days.

American Airlines Group

  
21 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in American Airlines Group Inc are ranked lower than 21 (%) of all global equities and portfolios over the last 30 days.