Benchmark  United States  NYSE  11,098   44.9688  -0.4035% 


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Collecting data for M and BONT ...

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 0.86 times more return on investment than BonTon. However, Macys Inc is 1.17 times less risky than BonTon. It trades about 0.11 of its potential returns per unit of risk. BonTon Stores Inc is currently generating about -0.52 per unit of risk. If you would invest  6,580  in Macys Inc on April 28, 2015 and sell it today you would earn a total of  228.00  from holding Macys Inc or generate 3.47% return on investment over 30 days.

Correlation Coefficient

0.23

Parameters

Time Period1 Month [change]
DirectionPositive BONT Moved Up vs M
StrengthVery Weak
Accuracy100.0%
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

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Macys

The TJX Companies Inc vs. Macys Inc
Kohls Corp vs. Macys Inc
Dillards Inc vs. Macys Inc
Sears Holdings Corporation vs. Macys Inc
Belk Inc vs. Macys Inc
J C Penney Company Inc vs. Macys Inc
Myer Holdings Limited vs. Macys Inc
Alon Blue Square Israel Ltd vs. Macys Inc
BonTon Stores Inc vs. Macys Inc
  

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

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
Sears Holdings Corporation vs. BonTon Stores Inc
Belk Inc vs. BonTon Stores Inc
J C Penney Company Inc vs. BonTon Stores Inc
Myer Holdings Limited vs. BonTon Stores Inc
Alon Blue Square Israel Ltd vs. BonTon Stores Inc