Correlation Analysis Between Macys and Dollar General

This module allows you to analyze existing cross correlation between Macys 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.
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 is expected to generate 1.35 times more return on investment than Dollar General. However, Macys is 1.35 times more volatile than Dollar General Corporation. It trades about -0.01 of its potential returns per unit of risk. Dollar General Corporation is currently generating about -0.02 per unit of risk. If you would invest  3,276  in Macys on November 9, 2018 and sell it today you would lose (107.00)  from holding Macys or give up 3.27% of portfolio value over 30 days.

Pair Corralation between Macys and Dollar General

0.79
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy89.58%
ValuesDaily Returns

Diversification

Macys Inc diversification synergy

Poor 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 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  
0

Risk-Adjusted Performance

Over the last 30 days Macys has generated negative risk-adjusted returns adding no value to investors with long positions.
Dollar General  
0

Risk-Adjusted Performance

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

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TGT - USA Stock
Target Corporation
Specialization
Consumer, Diversified Wholesale And Retail
RegionNorth America
ExchangeNew York Stock Exchange
$67.81

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