This module allows you to analyze existing cross correlation between Macys Inc and Citigroup Inc. You can compare the effects of market volatilities on Macys and Citigroup 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 Citigroup. See also your portfolio center
. Please also check ongoing floating volatility patterns of Macys
Macys Inc vs Citigroup Inc
Taking into account the 30 trading days horizon, Macys Inc is expected to generate 1.77 times more return on investment than Citigroup. However, Macys is 1.77 times more volatile than Citigroup Inc. It trades about 0.26 of its potential returns per unit of risk. Citigroup Inc is currently generating about -0.16 per unit of risk. If you would invest 2,565 in Macys Inc on February 20, 2018 and sell it today you would earn a total of 303.00 from holding Macys Inc or generate 11.81% return on investment over 30 days.
|Time Period||1 Month [change]|
Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup Inc 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 Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup Inc has no effect on the direction of Macys i.e. Macys and Citigroup go up and down completely randomly.
Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.
Over the last 30 days Citigroup Inc has generated negative risk-adjusted returns adding no value to investors with long positions.