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
Symbolsvs
Compare Efficiency

Comparative Performance

Macys  
0

Risk-Adjusted Performance

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

Macys and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Macys Inc  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

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

0.43
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Macys and Citigroup

Macys Inc diversification synergy

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.

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See also your portfolio center. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.


 
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