Pair Correlation Between Macys and BonTon Stores

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 Stores 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 Stores. See also your portfolio center.Please also check ongoing floating volatility patterns of Macys and BonTon Stores.
Investment Horizon     30 Days    Login   to change
 Macys Inc.  vs   BonTon Stores Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 0.53 times more return on investment than BonTon Stores. However, Macys Inc is 1.87 times less risky than BonTon Stores. It trades about -0.13 of its potential returns per unit of risk. BonTon Stores Inc is currently generating about -0.08 per unit of risk. If you would invest  3,869  in Macys Inc on August 27, 2016 and sell it today you would lose (207.00) from holding Macys Inc or give up 5.35% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Macys and BonTon Stores
0.14

Parameters

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

Diversification

Average 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. The correlation between historical prices or returns on BonTon Stores 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 BonTon Stores. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BonTon Stores has no effect on the direction of Macys i.e. Macys and BonTon Stores go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.49 (0.33) 0.00 (0.37) 0.00 (0.17) 0.00  2.88 (3.20) 6.08 
 2.33  0.08  0.02  0.02  3.10  0.02 (2.89) 4.85 (6.59) 17.92 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Macys Inc

  

Risk-adjusted Performance

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

BonTon Stores

  

Risk-adjusted Performance

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