Pair Correlation Between Macys and Citigroup

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 and Citigroup.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Macys Inc  vs   Citigroup Inc
 Performance (%) 
      Timeline 

Pair Volatility

If you would invest  7,177  in Citigroup Inc on September 16, 2017 and sell it today you would earn a total of  0.00  from holding Citigroup Inc or generate 0.0% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Citigroup
-0.59

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy4.76%
ValuesDaily Returns

Diversification

Excellent 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 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.

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
0 

Risk-Adjusted Performance

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

Citigroup Inc

  
0 

Risk-Adjusted Performance

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