Correlation Analysis Between Macys and Citigroup

This module allows you to analyze existing cross correlation between Macys and Citigroup. 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 and Citigroup.
Horizon     30 Days    Login   to change

Macys Inc  vs.  Citigroup Inc

 Performance (%) 

Pair Volatility

Taking into account the 30 trading days horizon, Macys is expected to under-perform the Citigroup. In addition to that, Macys is 1.54 times more volatile than Citigroup. It trades about -0.14 of its total potential returns per unit of risk. Citigroup is currently generating about 0.07 per unit of volatility. If you would invest  7,239  in Citigroup on August 27, 2018 and sell it today you would earn a total of  112.00  from holding Citigroup or generate 1.55% return on investment over 30 days.

Pair Corralation between Macys and Citigroup

Time Period1 Month [change]
ValuesDaily Returns


Very good diversification

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 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 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 has no effect on the direction of Macys i.e. Macys and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

Risk-Adjusted Performance

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

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.

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