Pair Correlation Between Macys and Bon Ton

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

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 0.47 times more return on investment than Bon Ton. However, Macys Inc is 2.15 times less risky than Bon Ton. It trades about -0.32 of its potential returns per unit of risk. The Bon Ton Stores Inc is currently generating about -0.38 per unit of risk. If you would invest  2,210  in Macys Inc on September 17, 2017 and sell it today you would lose (221)  from holding Macys Inc or give up 10.0% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Bon Ton
0.8

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 The Bon Ton Stores Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Bon Ton 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 Bon Ton. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Bon Ton has no effect on the direction of Macys i.e. Macys and Bon Ton 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.

The Bon Ton

  
0 

Risk-Adjusted Performance

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