Pair Correlation Between Macys and BonTon Stores

  
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 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. Please also check ongoing floating volatility patterns of Macys and BonTon Stores.
 Macys Inc.  vs   BonTon Stores Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys is expected to generate 1.56 times less return on investment than BonTon Stores. In addition to that, Macys is 1.14 times more volatile than BonTon Stores Inc. It trades about 0.13 of its total potential returns per unit of risk. BonTon Stores Inc is currently generating about 0.22 per unit of volatility. If you would invest  146.00  in BonTon Stores Inc on July 30, 2016 and sell it today you would earn a total of  26.00  from holding BonTon Stores Inc or generate 17.81% return on investment over 30 days.

Correlation Coefficient

0.48

Parameters

Time Period1 Month [change]
DirectionPositive 
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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 2.17  0.43  0.14  0.08  2.39  0.10 (2.52) 2.05 (2.79) 19.45 
 3.04  0.82  0.26  0.24  2.33  0.21 (4.14) 7.32 (3.42) 13.60 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Macys Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Macys

  

BonTon Stores

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in BonTon Stores Inc are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for BonTon Stores