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 under-perform the American Airlines. But the stock apears to be less risky and, when comparing its historical volatility, Macys Inc is 1.21 times less risky than American Airlines. The stock trades about -0.21 of its potential returns per unit of risk. The American Airlines Group Inc is currently generating about 0.36 of returns per unit of risk over similar time horizon. If you would invest  4,438  in American Airlines Group Inc on September 19, 2017 and sell it today you would earn a total of  699  from holding American Airlines Group Inc or generate 15.75% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and American Airlines
-0.84

Parameters

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

Diversification

Pay attention

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

  
0 

Risk-Adjusted Performance

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

American Airlines Group

  
24 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in American Airlines Group Inc are ranked lower than 24 (%) of all global equities and portfolios over the last 30 days.