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Benchmark  United States  NYSE  10,692   87.77 Index Moved Up 0.83%  


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Collecting data for M and BONT ...

Correlation analysis between Macys and BonTon Correlation analysis between Macys and BonTon

 
Investment horizon:  
  30 Days    Login   to change
  
This module allows you to analyze existing cross correlation between Macys Inc and BonTon Stores Inc. You can compare the effects of market volatilities on Macys and BonTon 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 BonTon. Please also check ongoing floating volatility patterns of Macys and BonTon.
 Macys Inc.  vs   BonTon Stores Inc.
Daily Returns (%)
BONT   M   
 
Benchmark  Embed   Timeline 
Taking into account the 30 trading days horizon, Macys Inc is expected to generate 0.32 times more return on investment than BonTon. However, Macys Inc is 3.14 times less risky than BonTon. It trades about -0.01 of its potential returns per unit of risk. BonTon Stores Inc is currently generating about -0.26 per unit of risk. If you would invest  6,575  in Macys Inc on December 31, 2014 and sell it today you would lose (39.00) from holding Macys Inc or give up 0.59% of portfolio value over 30 days.

Correlation Coefficient

0.55

Parameters

Time Period1 Month [change]
DirectionPositive BONT Moved Up vs M
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Macys Inc. and BonTon Stores Inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Benchmark  Embed   Returns 

Macys Inc

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

Pair trading matchups for Macys

The TJX Companies Inc vs. Macys Inc
Kohls Corp vs. Macys Inc
Dillards Inc vs. Macys Inc
Alon Blue Square Israel Ltd vs. Macys Inc
BonTon Stores Inc vs. Macys Inc
  

BonTon Stores

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

Pair trading matchups for BonTon

The TJX Companies Inc vs. BonTon Stores Inc
Macys Inc vs. BonTon Stores Inc
Kohls Corp vs. BonTon Stores Inc
Dillards Inc vs. BonTon Stores Inc
Alon Blue Square Israel Ltd vs. BonTon Stores Inc


 

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