- Companies in United States
- Peer Analysis
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 and Citigroup Volatility Contrast
Predicted Return Density
Macys Inc vs. Citigroup Inc
Taking into account the 30 trading days horizon, Macys is expected to generate 1.5 times more return on investment than Citigroup. However, Macys is 1.5 times more volatile than Citigroup. It trades about -0.06 of its potential returns per unit of risk. Citigroup is currently generating about -0.27 per unit of risk. If you would invest 3,339 in Macys on November 13, 2018 and sell it today you would lose (259.00) from holding Macys or give up 7.76% of portfolio value over 30 days.
Pair Corralation between Macys and Citigroup
|Time Period||2 Months [change]|
Diversification Opportunities for Macys and Citigroup
Very weak 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.