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 0.29 times more return on investment than BonTon. However, Macys Inc is 3.47 times less risky than BonTon. It trades about -0.4 of its potential returns per unit of risk. BonTon Stores Inc is currently generating about -0.15 per unit of risk. If you would invest  6,933  in Macys Inc on July 30, 2015 and sell it today you would lose (1,033) from holding Macys Inc or give up 14.9% of portfolio value over 30 days.

Correlation Coefficient

0.29

Parameters

Time Period1 Month [change]
DirectionPositive BONT Moved Up vs M
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns
  

Diversification

Modest 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

  

Risk-adjusted Performance

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

  

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.

Pair trading matchups for BonTon