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.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Macys Inc  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys is expected to generate 1.87 times more return on investment than Citigroup. However, Macys is 1.87 times more volatile than Citigroup. It trades about 0.37 of its potential returns per unit of risk. Citigroup is currently generating about -0.19 per unit of risk. If you would invest  3,312  in Macys on May 22, 2018 and sell it today you would earn a total of  650.00  from holding Macys or generate 19.63% return on investment over 30 days.

Pair Corralation between Macys and Citigroup

-0.4
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

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 
      Returns 
Macys  
24 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys are ranked lower than 24 (%) of all global equities and portfolios over the last 30 days.
Citigroup  
0 

Risk-Adjusted Performance

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

My Equities

My Current Equities and Potential Positions
View AllNext
GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1173.46

Thematic Opportunities

Explore Investment Opportunities
Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.