Pair Correlation Between Macys and Dollar General

This module allows you to analyze existing cross correlation between Macys Inc and Dollar General Corporation. You can compare the effects of market volatilities on Macys and Dollar General 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 Dollar General. See also your portfolio center. Please also check ongoing floating volatility patterns of Macys and Dollar General.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Macys Inc  vs   Dollar General Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 1.93 times more return on investment than Dollar General. However, Macys is 1.93 times more volatile than Dollar General Corporation. It trades about 0.59 of its potential returns per unit of risk. Dollar General Corporation is currently generating about 0.43 per unit of risk. If you would invest  1,933  in Macys Inc on November 11, 2017 and sell it today you would earn a total of  656  from holding Macys Inc or generate 33.94% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Dollar General
0.93

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Dollar General Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Dollar General 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 Dollar General. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dollar General has no effect on the direction of Macys i.e. Macys and Dollar General go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
38 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 38 (%) of all global equities and portfolios over the last 30 days.

Dollar General

  
28 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Dollar General Corporation are ranked lower than 28 (%) of all global equities and portfolios over the last 30 days.